Lundberg inequalities in a diffusion environment
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Publication:1413361
DOI10.1016/S0167-6687(02)00157-9zbMath1028.60083OpenAlexW1994341470MaRDI QIDQ1413361
Publication date: 16 November 2003
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(02)00157-9
Cox processDiffusion processLundberg inequalityRuin probabilityExponential martingaleExtended generator
Generalizations of martingales (60G48) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Cites Work
- Point processes and queues. Martingale dynamics
- Aspects of risk theory
- Doubly stochastic Poisson processes
- Two-sided Lundberg inequalities in a Markovian environment
- Finite-time Lundberg inequalities in the Cox case
- Exponential inequalities for ruin probabilities in the Cox case
- Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's Inequality
- Risk theory in a Markovian environment
- Diffusion processes with continuous coefficients, I
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