The submartingale assumption in risk theory

DOI10.1016/0167-6687(86)90025-9zbMath0611.62130MaRDI QIDQ1087293

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

zbMATH Keywords

ruin theory; pricing; risk theory; martingale techniques; embeddable submartingales; gain process; inequalities for ruin probabilities; optional gain processes; submartingale decomposition theorem

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60G42: Martingales with discrete parameter

Related Items

Classical risk theory in an economic environment, Risk theory in a stochastic economic environment

Cites Work

• Inversed martingales in risk theory
• A note on the adjustment coefficient in ruin theory
• Martingales in Markov processes applied to risk theory
• Optimal insurance premium rates when the distribution of claims is unknown
• Martingales and ruin in a dynamical risk process
• A numerical comment on an upper bound for ruin probabilities
• Embedding submartingales in wiener processes with drift, with applications to sequential analysis
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