The submartingale assumption in risk theory

DOI10.1016/0167-6687(86)90025-9zbMath0611.62130OpenAlexW2085133393MaRDI 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 theorypricingrisk 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)

Related Items (2)

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