Martingales in Markov processes applied to risk theory
type: Item
instance of: scholarly article
title: Martingales in Markov processes applied to risk theory
zbMATH Open document ID: 0629.62100
DOI: 10.1016/0167-6687(86)90033-8
author: J. Haezendonck
author: Freddy Delbaen
published in: Insurance Mathematics \& Economics
publication date: 1986-01-01T00:00:00Z
review text: The authors consider a general martingale, which is connected with the classical surplus process from risk theory. From general properties they extend in several examples some known results in ruin theory. Moreover, they give some insight how this martingale is related to the general theory of Markov processes.
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 4024582
zbMATH Keywords: predictable process
zbMATH Keywords: renewal equation
zbMATH Keywords: compound Poisson process
zbMATH Keywords: surplus process
zbMATH Keywords: risk theory
zbMATH Keywords: ruin theory
zbMATH Keywords: Markov processes
reviewed by: Axel Reich
MaRDI profile type: Publication
full work available at URL: 0167-6687(86)90033-8
OpenAlex ID: W2095556144
cites work: Inversed martingales in risk theory
cites work: Q5342182
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description: scientific article; zbMATH DE number 4024582