Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process
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DOI: 10.1007/s00780-019-00413-3
Abstract: We study the asymptotics of the ruin probability for a process which is the solution of a linear SDE defined by a pair of independent Lévy processes. Our main interest is a model describing the… read more here.
Keywords: generalised ornstein; driven generalised; ornstein uhlenbeck; ruin probabilities ... See more keywords