|
|||||
|
|
Approximation of ruin probability and ruin time in discrete Brownian risk models |
|
| Authors: | Grigori Jasnovidov |
| Institution: | 1. Department of Actuarial Science, University of Lausanne, Lausanne, Switzerland Grigori.Jasnovidov@unil.ch |
| Abstract: | |
| Keywords: | Brownian motion γ-reflected risk model Parisian ruin probability cumulative Parisian ruin ruin time approximation |