The submartingale assumption in risk theory (Q1087293): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: reviewed by (P1447): Item:Q761752 |
||
| Property / reviewed by | |||
| Property / reviewed by: Axel Reich / rank | |||
Revision as of 00:45, 21 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The submartingale assumption in risk theory |
scientific article |
Statements
The submartingale assumption in risk theory (English)
0 references
1986
0 references
The author analyzes the usual gain process \(G_ n\) in risk theory by martingale techniques. Under fairly general conditions he gives applications to ruin theory, optional gain processes and pricing models.
0 references
submartingale decomposition theorem
0 references
inequalities for ruin probabilities
0 references
embeddable submartingales
0 references
gain process
0 references
risk theory
0 references
martingale techniques
0 references
ruin theory
0 references
optional gain processes
0 references
pricing
0 references
