Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
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Publication:1341323
DOI10.1016/0167-6687(94)00017-4zbMath0814.62066OpenAlexW2046381198MaRDI QIDQ1341323
H. J. Furrer, Hanspeter Schmidli
Publication date: 9 January 1995
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(94)00017-4
exponential boundsmartingale methodsdiffusion processesruin probabilityrenewal modelLundberg inequalitymartingales for risk processes
Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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Cites Work
- Risk theory for the compound Poisson process that is perturbed by diffusion
- Aspects of risk theory
- Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
- Large claims approximations for risk processes in a Markovian environment
- Finite-time Lundberg inequalities in the Cox case
- Exponential inequalities for ruin probabilities in the Cox case
- Martingales and insurance risk
- Ruin estimation for a general insurance risk model
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