Martingales in Markov processes applied to risk theory (Q1094065): Difference between revisions
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Revision as of 03:11, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Martingales in Markov processes applied to risk theory |
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Martingales in Markov processes applied to risk theory (English)
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1986
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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.
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predictable process
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renewal equation
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compound Poisson process
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surplus process
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risk theory
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ruin theory
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Markov processes
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