Two-sided Lundberg inequalities in a Markovian environment

DOI10.1007/BF00970422zbMath0806.60059OpenAlexW2334875650MaRDI QIDQ1324885

Bronius Grigelionis

Publication date: 21 July 1994

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00970422

zbMATH Keywords

Markov additive processexponential martingaleLundberg inequalityinsurance risk process

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44) Local time and additive functionals (60J55) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Related Items (1)

Lundberg inequalities in a diffusion environment

Cites Work

• On non-singular renewal kernels with an application to a semigroup of transition kernels
• Computational methods in risk theory: a matrix-algorithmic approach
• Aspects of risk theory
• Analytical best upper bounds on stop-loss premiums
• Finite-time Lundberg inequalities in the Cox case
• General Irreducible Markov Chains and Non-Negative Operators
• Bounds on the delay distribution in GI/G/1 queues
• Use of differential and integral inequalities to bound ruin and queuing probabilities
• Risk theory in a Markovian environment
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