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)

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Cites work

• scientific article; zbMATH DE number 3438165 (Why is no real title available?)
• scientific article; zbMATH DE number 3437452 (Why is no real title available?)
• scientific article; zbMATH DE number 3215021 (Why is no real title available?)
• scientific article; zbMATH DE number 3312403 (Why is no real title available?)
• 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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