Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
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References listed on IDEAS
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More about this item
KeywordsRuin probabilities; Large deviations; Subexponential distributions; GARCH processes; Repetitive operational risk modeling; G10; 60G70; 60J10; 60F10;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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