Inversed martingales in risk theory (Q1061437)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Inversed martingales in risk theory |
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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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