The submartingale assumption in risk theory

DOI10.1016/0167-6687(86)90025-9zbMATH Open0611.62130OpenAlexW2085133393MaRDI QIDQ1087293FDOQ1087293

Authors: Franco Moriconi 

Publication date: 1986

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(86)90025-9

Recommendations

• scientific article; zbMATH DE number 3940564
• scientific article; zbMATH DE number 3978236
• Martingales in Markov processes applied to risk theory
• Martingale applicate alla teoria del rischio: Processi di guadagno a submartingala e aggiustabilità
• scientific article; zbMATH DE number 3988569

zbMATH Keywords

pricingrisk theoryruin theorymartingale techniquesembeddable submartingalesgain processinequalities for ruin probabilitiesoptional gain processessubmartingale decomposition theorem

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with discrete parameter (60G42)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• A note on the adjustment coefficient in ruin theory
• Embedding submartingales in wiener processes with drift, with applications to sequential analysis
• Martingales and ruin in a dynamical risk process
• Inversed martingales in risk theory
• Martingales in Markov processes applied to risk theory
• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimal insurance premium rates when the distribution of claims is unknown
• A numerical comment on an upper bound for ruin probabilities

Cited In (7)

• Risk theory in a stochastic economic environment
• Martingale applicate alla teoria del rischio: Processi di guadagno a submartingala e aggiustabilità
• Classical risk theory in an economic environment
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• A general model in risk theory. An application of modern martingale theory. Part one: Theoretic foundations

This page was built for publication: The submartingale assumption in risk theory

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1087293)