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Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes.
Pierre-Olivier Goffard
Andrey Sarantsev
Published in:
J. Appl. Probab. (2019)
Keyphrases
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convergence rate
step size
convergence speed
learning rate
primal dual
gradient method
numerical stability
global convergence
mutation operator
variable step size
risk management
gravitational search algorithm
optimization algorithm
expected utility
wavelet neural network
heavy tails