Inversed martingales in risk theory (Q1061437): Difference between revisions
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| Property / author: Freddy Delbaen / rank | |||
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| Property / author: Freddy Delbaen / rank | |||
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| Property / full work available at URL: https://doi.org/10.1016/0167-6687(85)90016-2 / rank | |||
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| Property / OpenAlex ID: W1990435548 / rank | |||
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| Property / cites work: Q3957683 / rank | |||
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| Property / cites work: A new proof for a known result in risk theory / rank | |||
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| Property / cites work: Q5583504 / rank | |||
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Latest revision as of 18:29, 14 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Inversed martingales in risk theory |
scientific article |
Statements
Inversed martingales in risk theory (English)
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1985
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The theory of inversed martingales is used in order to prove a generalization of a result of H. Cramér on the probability of non-ruin for a classical surplus process if the initial reserve is positive.
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risk process
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Doob-Meyer decomposition
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predictable process
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optional sampling
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Lundberg's bound
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inversed martingales
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probability of non- ruin
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surplus process
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