The submartingale assumption in risk theory (Q1087293)
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scientific article; zbMATH DE number 3988568
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| English | The submartingale assumption in risk theory |
scientific article; zbMATH DE number 3988568 |
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The submartingale assumption in risk theory (English)
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1986
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The author analyzes the usual gain process \(G_ n\) in risk theory by martingale techniques. Under fairly general conditions he gives applications to ruin theory, optional gain processes and pricing models.
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submartingale decomposition theorem
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inequalities for ruin probabilities
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embeddable submartingales
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gain process
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risk theory
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martingale techniques
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ruin theory
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optional gain processes
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pricing
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0.8484151363372803
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0.8171018362045288
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