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Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 24 (2020) 1, pp. 39-69
Persistent link: https://www.econbiz.de/10012253340
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On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
Asmussen, Søren - In: Finance and stochastics 26 (2022) 3, pp. 383-416
Persistent link: https://www.econbiz.de/10013440228
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On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.; Pergamenščikov, Sergej M. - In: Finance and stochastics 26 (2022) 4, pp. 877-897
Persistent link: https://www.econbiz.de/10013440255
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A general approach for Parisian stopping times under Markov processes
Zhang, Gongqiu; Li, Lingfei - In: Finance and stochastics 27 (2023) 3, pp. 769-829
Persistent link: https://www.econbiz.de/10014328990
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Ruin probabilities for a Sparre Andersen model with investments : the case of annuity payments
Kabanov, Jurij M.; Promyslov, Platon - In: Finance and stochastics 27 (2023) 4, pp. 887-902
Persistent link: https://www.econbiz.de/10014426395
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In the insurance business risky investments are dangerous : the case of negative risk sums
Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 20 (2016) 2, pp. 355-379
Persistent link: https://www.econbiz.de/10011471125
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An application of fractional differential equations to risk theory
Constantinescu, Corina; Ramirez, Jorge M.; Zhu, Wei - In: Finance and stochastics 23 (2019) 4, pp. 1001-1024
Persistent link: https://www.econbiz.de/10012114683
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The role of measurability in game-theoretic probability
Vovk, Vladimir - In: Finance and stochastics 21 (2017) 3, pp. 719-739
Persistent link: https://www.econbiz.de/10011944419
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Laws of large numbers for Hayashi-Yoshida-type functionals
Martin, Ole; Vetter, Mathias - In: Finance and stochastics 23 (2019) 3, pp. 451-500
Persistent link: https://www.econbiz.de/10012023752
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Applications of Malliavin calculus to Monte Carlo methods in finance, [Teil 1]
Fournié, Éric (contributor) - In: Finance and stochastics 3 (1999) 4, pp. 391-412
Persistent link: https://www.econbiz.de/10001412112