The submartingale assumption in risk theory

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

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)

Cites Work

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• 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
• Optimal insurance premium rates when the distribution of claims is unknown
• A numerical comment on an upper bound for ruin probabilities

Cited In (2)

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

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