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Finite-time ruin probability with an exponential levy process investment return and heavy-tailed claims

Heyde, C C; Wang, Dingcheng


By expressing the discounted net loss process as a randomly weighted sum, we investigate the finite-time ruin probabilities for the Poisson risk model with an exponential Lévy process investment return and heavy-tailed claims. It is found that infinite t

CollectionsANU Research Publications
Date published: 2009
Type: Journal article
Source: Advances in Applied Probability
DOI: 10.1239/aap/1240319582


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