Lundberg inequalities in a diffusion environment

DOI10.1016/S0167-6687(02)00157-9zbMath1028.60083OpenAlexW1994341470MaRDI QIDQ1413361

Zbigniew Palmowski

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

zbMATH Keywords

Cox processDiffusion processLundberg inequalityRuin probabilityExponential martingaleExtended generator

Mathematics Subject Classification ID

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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