Martingales in Markov processes applied to risk theory

DOI10.1016/0167-6687(86)90033-8zbMath0629.62100OpenAlexW2095556144MaRDI QIDQ1094065

J. Haezendonck, Freddy Delbaen

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1016/0167-6687(86)90033-8

zbMATH Keywords

Markov processesruin theorycompound Poisson processrenewal equationpredictable processrisk theorysurplus process

Mathematics Subject Classification ID

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

Related Items (7)

On the first crossing of the surplus process with a given upper barrier ⋮ The submartingale assumption in risk theory ⋮ Classical risk theory in an economic environment ⋮ Macro-economic influences on the crossing of dividend barriers ⋮ Martingale results in risk theory with a view to ruin probabilities and diffusions ⋮ The moments of ruin time in the classical risk model with discrete claim size distribution ⋮ A remark on the moments of ruin time in classical risk theory

Cites Work

• Inversed martingales in risk theory
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