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Towards a general theory of bond markets
Björk, Tomas; DiMasi, Giovanni; Kabanov, Jurij M.; … - 1996
Persistent link: https://www.econbiz.de/10000955624
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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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Optional decomposition and Lagrange multipliers
Föllmer, Hans - In: Finance and stochastics 2 (1998) 1, pp. 69-81
Persistent link: https://www.econbiz.de/10001230154
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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 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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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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On componentwise and vector stochastic integration
Chatelain, Michel - In: Mathematical finance : an international journal of … 4 (1994) 1, pp. 57-65
Persistent link: https://www.econbiz.de/10001185115