Martingale results in risk theory with a view to ruin probabilities and diffusions (Q4695023)
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scientific article; zbMATH DE number 203101
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Martingale results in risk theory with a view to ruin probabilities and diffusions |
scientific article; zbMATH DE number 203101 |
Statements
Martingale results in risk theory with a view to ruin probabilities and diffusions (English)
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4 May 1995
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Itô formula
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integration by parts
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paths of bounded variations
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marked point process
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non-life insurance
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piecewise deterministic Markov processes
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exponential martingale
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exponential upper bound
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infinite time ruin
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Cox process
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jump process
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diffusion approximations
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mixed Poisson case
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convergence of characteristic functions
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