Maximum loss and maximum gain of spectrally negative Lévy processes
نویسندگان
چکیده
منابع مشابه
Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes
This article provides importance sampling algorithms for computing the probabilities of various types ruin of spectrally negative Lévy risk processes, which are ruin over the infinite time horizon, ruin within a finite time horizon and ruin past a finite time horizon. For the special case of the compound Poisson process perturbed by diffusion, algorithms for computing probabilities of ruins by ...
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ژورنال
عنوان ژورنال: Extremes
سال: 2016
ISSN: 1386-1999,1572-915X
DOI: 10.1007/s10687-016-0279-8