Random recurrence equations and ruin in a markov-dependent stochastic economic environment

Annals of Applied Probability

Volumn 19, Issue 4, 2009, Pages 1404-1458

  Collamore, Jeffrey F ^a  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Financial time series; Harris recurrent markov chains; Large deviations; Perpetuities; Regeneration; Ruin probabilities

Indexed keywords

EID: 70049117977     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/08-AAP584     Document Type: Article

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