Martingale results in risk theory with a view to ruin probabilities and diffusions

DOI10.1080/03461238.1992.10413904zbMath0811.62097OpenAlexW4248082180MaRDI QIDQ4695023

Christian Max Møller

Publication date: 4 May 1995

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1992.10413904

zbMATH Keywords

marked point processdiffusion approximationsItô formulaintegration by partsCox processpiecewise deterministic Markov processesjump processexponential martingalenon-life insuranceexponential upper boundconvergence of characteristic functionsinfinite time ruinmixed Poisson casepaths of bounded variations

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (1)

Supermodular Order and Lundberg Exponents

Cites Work

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• Classical risk theory in an economic environment
• Martingales in Markov processes applied to risk theory
• Exponential inequalities for ruin probabilities in the Cox case
• Martingales and insurance risk
• A general risk process and its properties
• Asymptotic results for the risk process based on marked point processes

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