On a fundamental identity for stopping times and its application to risk theory

DOI10.1016/0167-6687(90)90027-BzbMath0735.62096OpenAlexW2086171248MaRDI QIDQ1814626

Colin M. Ramsay

Publication date: 25 June 1992

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

Full work available at URL: https://doi.org/10.1016/0167-6687(90)90027-b

zbMATH Keywords

indicator functionmoment-generating functionbarrierrisk theoryprobability of ruinLundberg's inequalityWald's identitypositive integer-valued stopping time

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• First exit time of a random walk from the bounds \(f(n)\pm cg(n)\), with applications
• Sequential analysis. Tests and confidence intervals
• A nonlinear renewal theory
• Monotonicity of Bayes sequential tests
• First exist times from moving boundaries for sums of independent random variables
• Probability bounds for first exists through moving boundaries
• A refined large deviation principle for Brownian motion and its application to boundary crossing
• A Generalization of Wald's Identity with Applications to Random Walks
• On certain aspects of a simple random walk with one random and one non-random absorbing barrier
• On the Exit Time of Sums of Bounded Random Variables from a Curvilinear Strip
• What is the Laplace Transform?

This page was built for publication: On a fundamental identity for stopping times and its application to risk theory