Martingales and ruin in a dynamical risk process

DOI10.1080/03461238.1977.10405065zbMath0373.62062OpenAlexW2146124192MaRDI QIDQ4151054

F. Etienne De Vylder

Publication date: 1977

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1977.10405065

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (7)

The submartingale assumption in risk theory ⋮ Statistical tests of stochastic process models used in the financial theory of insurance companies ⋮ A general model in risk theory. An application of modern martingale theory. Part one: Theoretic foundations ⋮ Upper bounds for ruin probabilities in a new general risk model, by the martingales method ⋮ A numerical comment on an upper bound for ruin probabilities ⋮ Probabilities of ruin ⋮ Finite non-homogeneous semi-Markov processes: Theoretical and computational aspects

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