A note on positive supermartingales in ruin theory

DOI10.1007/BF02809923zbMath0676.62084MaRDI QIDQ3831909

Klaus D. Schmidt

Publication date: 1989

Published in: Blätter der DGVFM (Search for Journal in Brave)

zbMATH Keywords

positive supermartingalesKolmogorov's inequalityruin problemsurplus processes

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with discrete parameter (60G42)

Related Items (3)

On Some alternative estimates of the adjustment coefficient in risk theory ⋮ On the deficit distribution when ruin occurs -- discrete time model ⋮ On the estimation of the adjustment coefficient in risk theory via intermediate order statistics

Cites Work

• Amarts and set function processes
• A note on the adjustment coefficient in ruin theory
• Unnamed Item

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