Small-time ruin for a financial process modulated by a Harris recurrent Markov chain

Jeffrey Collamore () and Andrea Höing ()

Finance and Stochastics, 2007, vol. 11, issue 3, 299-322

Keywords: Ruin probabilities; Large deviations; Subexponential distributions; GARCH processes; Repetitive operational risk modeling; G10; 60G70; 60J10; 60F10 (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s00780-007-0044-6

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