Martingales in Markov processes applied to risk theory (Q1094065): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/0167-6687(86)90033-8 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2095556144 / rank | |||
Normal rank | |||
Revision as of 23:17, 19 March 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
