Martingales in Markov processes applied to risk theory

DOI10.1016/0167-6687(86)90033-8MaRDI QIDQ1094065zbMATH OpenOpenAlexFDO

Authors J. Haezendonck, Freddy Delbaen

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)90033-8

zbMATH Keywords

compound Poisson processMarkov processespredictable processrenewal equationrisk theoryruin theorysurplus process

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Review text

The authors consider a general martingale, which is connected with the classical surplus process from risk theory. From general properties they extend in several examples some known results in ruin theory. Moreover, they give some insight how this martingale is related to the general theory of Markov processes.

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Cites work

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• Inversed martingales in risk theory

Cited in

(24)

• Inversed martingales in risk theory
• The submartingale assumption in risk theory
• Classical risk theory in an economic environment
• The moments of ruin time in the classical risk model with discrete claim size distribution
• On the first crossing of the surplus process with a given upper barrier
• A martingale approach to a ruin model with surplus following a compound Pisson process
• scientific article; zbMATH DE number 4195001 (Why is no real title available?)
• Martingale applicate alla teoria del rischio: Processi di guadagno a submartingala e aggiustabilità
• scientific article; zbMATH DE number 3848460 (Why is no real title available?)
• Martingales in life insurance
• scientific article; zbMATH DE number 3940564 (Why is no real title available?)
• scientific article; zbMATH DE number 3978236 (Why is no real title available?)
• scientific article; zbMATH DE number 3984421 (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
• Macro-economic influences on the crossing of dividend barriers
• scientific article; zbMATH DE number 4126417 (Why is no real title available?)
• scientific article; zbMATH DE number 1203319 (Why is no real title available?)
• Long-Term Risk: A Martingale Approach
• Martingale results in risk theory with a view to ruin probabilities and diffusions
• Iterated Poisson processes for catastrophic risk modeling in ruin theory
• A remark on the moments of ruin time in classical risk theory
• Markov process functionals in finance and insurance
• Markovian risk process

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