Lundberg inequalities for a Cox model with a piecewise constant intensity

DOI10.2307/3215277zbMath0845.60066OpenAlexW2031156381MaRDI QIDQ4877417

Hanspeter Schmidli

Publication date: 16 September 1996

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3215277

zbMATH Keywords

martingale methodsruin probabilityCox modelchange of measurerisk theoryCramér-Lundberg approximationLundberg inequality

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic analysis (60H99) Markov processes (60J99)

Related Items (11)

Estimation of the Lundberg coefficient for a Markov modulated risk model ⋮ Applications of a change of measures technique for compound mixed renewal processes to the ruin problem ⋮ Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion ⋮ The hitting time for a Cox risk process ⋮ Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model ⋮ Ruin by dynamic contagion claims ⋮ On the Gerber-Shiu function and change of measure ⋮ Nonparametric tests for Cox processes ⋮ Joint distributions of some actuarial random vectors for the Cox risk model ⋮ Optimal reinsurance-investment strategy for a dynamic contagion claim model ⋮ Regime-Switching Periodic Models For Claim Counts

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