Martingale results in risk theory with a view to ruin probabilities and diffusions (Q4695023): Difference between revisions

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Latest revision as of 17:13, 17 May 2024

scientific article; zbMATH DE number 203101
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English
Martingale results in risk theory with a view to ruin probabilities and diffusions
scientific article; zbMATH DE number 203101

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    Martingale results in risk theory with a view to ruin probabilities and diffusions (English)
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    4 May 1995
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    Itô formula
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    integration by parts
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    paths of bounded variations
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    marked point process
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    non-life insurance
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    piecewise deterministic Markov processes
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    exponential martingale
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    exponential upper bound
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    infinite time ruin
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    Cox process
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    jump process
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    diffusion approximations
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    mixed Poisson case
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    convergence of characteristic functions
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