Martingales in Markov processes applied to risk theory (Q1094065): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claims |
||
| Property / author | |||
| Property / author: Freddy Delbaen / rank | |||
| Property / reviewed by | |||
| Property / reviewed by: Axel Reich / rank | |||
Revision as of 22:24, 11 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Martingales in Markov processes applied to risk theory |
scientific article |
Statements
Martingales in Markov processes applied to risk theory (English)
0 references
1986
0 references
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.
0 references
predictable process
0 references
renewal equation
0 references
compound Poisson process
0 references
surplus process
0 references
risk theory
0 references
ruin theory
0 references
Markov processes
0 references
