Upper bounds for ruin probabilities in a new general risk model, by the martingales method

DOI10.1016/0771-050X(82)90065-1zbMath0499.62092OpenAlexW2020166671MaRDI QIDQ1171859

Marc J. Goovaerts, F. Etienne De Vylder

Publication date: 1982

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0771-050x(82)90065-1

zbMATH Keywords

ruin probabilitynew general risk model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Cites Work

• Unnamed Item
• A comparison criterion for explosions in point processes
• Martingales and ruin in a dynamical risk process
• General jump process and time change — or, how to define stochastic operational time

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