Exact Ruin Probabilities and the Evaluation of Program Trading On Financial Markets

D. P. Kennedy

Mathematical Finance, 1993, vol. 3, issue 1, 55-63

Abstract: For a compound Poisson process with negative drift and jump distribution consisting of a mixture of exponentials on [0) and on (‐, 0), an exact expression is derived for the probability of hitting the level c, c > 0. the problem is motivated by modeling the returns from trading on financial markets.

Date: 1993
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https://doi.org/10.1111/j.1467-9965.1993.tb00038.x

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