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Keywords: Ruin
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Journal Article
Hélyette Geman
Review of Finance, Volume 2, Issue 2, 1999, Pages 113–124, https://doi.org/10.1023/A:1009835429630
Published: 01 August 1999
... Pointoise, France; E-mail: [email protected] Abstract. This paper argues that in the fundamental subject of financial risk analysis, some valuable lessons may be drawn from insurance. The probability of ruin, defined as a first passage time, carries a dynamic element whose absence in Value at Risk...