The submartingale assumption in risk theory

DOI10.1016/0167-6687(86)90025-9MaRDI QIDQ1087293zbMATH OpenOpenAlexFDO

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

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)

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

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
• scientific article; zbMATH DE number 3978236 (Why is no real title available?)
• scientific article; zbMATH DE number 3940564 (Why is no real title available?)
• scientific article; zbMATH DE number 3988569 (Why is no real title available?)
• A general model in risk theory. An application of modern martingale theory. Part one: Theoretic foundations

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