Martingales and the distribution of the time to ruin.

DOI10.1016/S0304-4149(03)00072-3zbMath1075.60554MaRDI QIDQ2574588

Martin Jacobsen

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

risk processpiecewise deterministic Markov processprobability of ruinoptional sampling

Mathematics Subject Classification ID

Related Items (6)

Exit times for a class of piecewise exponential Markov processes with two-sided jumps ⋮ Lévy Processes, Phase-Type Distributions, and Martingales ⋮ On the total operating costs up to default in a renewal risk model ⋮ The Time to Ruin in Some Additive Risk Models with Random Premium Rates ⋮ The time to ruin for a class of Markov additive risk process with two-sided jumps ⋮ On the discounted penalty function in a Markov-dependent risk model

Cites Work

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• Ruin probabilities for Erlang (2) risk processes
• Russian and American put options under exponential phase-type Lévy models.
• Ruin Problems for Phase-Type(2) Risk Processes
• Electronic Foreign-Exchange Markets and Passage Events of Independent Subordinators

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