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VaR and Ruin Probabilities for the Geometric Brownian Motion with Jump Model
VaR and Ruin Probabilities for the Geometric Brownian Motion with Jump Model This abstract describes a paper that models an insurer’s surplus as a Geometric Brownian motion with Poisson jumps.- Authors: JIANDONG REN, Yu Zhao
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments>Value at risk - Finance & Investments