Risk theory in a stochastic economic environment
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Publication:2368172
DOI10.1016/0304-4149(93)90010-2zbMath0777.62098OpenAlexW2036600644MaRDI QIDQ2368172
Publication date: 19 December 1993
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4149(93)90010-2
inequalitiesinsurance companysemimartingalescharacteristic functionMarkov processrisk processruin probabilitystationary independent incrementsinvestment riskintegro- differential equationprobability of eventual ruininflation generating processone-dimensional stochastic differential equationreturn on investment generating processstochastic level of inflationstochastic rate of return on investmentssurplus generating process
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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Cites Work
- The Pricing of Options and Corporate Liabilities
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- The submartingale assumption in risk theory
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- Option pricing when underlying stock returns are discontinuous
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