Browsing Mathematics (Faculty of) by Subject "Two-sided exit problem"
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Adaptive policies and drawdown problems in insurance risk models
(University of Waterloo, 2015-08-31)Ruin theory studies an insurer's solvency risk, and to quantify such a risk, a stochastic process is used to model the insurer's surplus process. In fact, research on ruin theory dates back to the pioneer works of Lundberg ...