Risk theory in a stochastic economic environment

DOI10.1016/0304-4149(93)90010-2zbMath0777.62098OpenAlexW2036600644MaRDI QIDQ2368172

Jostein Paulsen

Publication date: 19 December 1993

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(93)90010-2

zbMATH Keywords

inequalitiesinsurance companysemimartingalescharacteristic functionMarkov processrisk processruin probabilitystationary independent incrementsinvestment riskintegro- differential equationprobability of eventual ruininflation generating processone-dimensional stochastic differential equationreturn on investment generating processstochastic level of inflationstochastic rate of return on investmentssurplus generating process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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