Minimizing the Probability of Lifetime Exponential Parisian Ruin
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Optimization Theory and Applications"
DOI: 10.1007/s10957-019-01595-8
Abstract: We find the optimal investment strategy in a Black–Scholes market to minimize the probability of so-called lifetime exponential Parisian ruin , that is, the probability that wealth exhibits an excursion below zero of an exponentially… read more here.
Keywords: lifetime exponential; probability; exponential parisian; probability lifetime ... See more keywords
Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon
Sign Up to like & getrecommendations! Published in 2017 at "Scandinavian Actuarial Journal"
DOI: 10.1080/03461238.2017.1391872
Abstract: Abstract Let be a standard Brownian motion. In this paper, we derive the asymptotics of the probability of Parisian ruin over an infinite time horizon for the following risk process (0.1) where is the initial… read more here.
Keywords: time horizon; ruin; parisian ruin; brownian motion ... See more keywords