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On the distribution tail of an integrated risk model: A numerical approach

Brokate, M; Kluppelberg, Claudia; Kostadinova, R; Maller, Ross; Seydel, R C


We consider an insurance risk process with the possibility to invest the capital reserve into a portfolio consisting of a risky asset and a riskless asset. The stock price is modelled by an exponential Lévy process and the riskless interest rate is assum

CollectionsANU Research Publications
Date published: 2008
Type: Journal article
Source: Insurance; Mathematics and Economics
DOI: 10.1016/j.insmatheco.2007.01.006


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