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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.

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    • Authors: JIANDONG REN, Yu Zhao
    • Date: Dec 2012
    • Competency: External Forces & Industry Knowledge
    • Topics: Finance & Investments>Value at risk - Finance & Investments
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