Inversed martingales in risk theory

DOI10.1016/0167-6687(85)90016-2zbMath0571.62093OpenAlexW1990435548MaRDI QIDQ1061437

J. Haezendonck, Freddy Delbaen

Publication date: 1985

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(85)90016-2

zbMATH Keywords

Doob-Meyer decompositionrisk processpredictable processsurplus processoptional samplinginversed martingalesLundberg's boundprobability of non- ruin

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44)

Related Items

The submartingale assumption in risk theory, Classical risk theory in an economic environment, Martingales in Markov processes applied to risk theory, Mathematical fun with ruin theory, Inequality extensions of Prabhu's formula in ruin theory, A remark on the moments of ruin time in classical risk theory

Cites Work

• A new proof for a known result in risk theory
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