Ruin probabilities in a diffusion environment

DOI10.1239/JAP/1318940454zbMATH Open1237.60078OpenAlexW2079251574MaRDI QIDQ3094472FDOQ3094472

Authors: Jan Grandell, Hanspeter Schmidli 

Publication date: 25 October 2011

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1318940454

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zbMATH Keywords

diffusion processruin probabilityCox processmartingale methodLundberg inequalitychange-of-measure technique

Mathematics Subject Classification ID

Large deviations (60F10) Diffusion processes (60J60) Martingales with continuous parameter (60G44) Processes in random environments (60K37)

Cited In (8)

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• Ruin probability in a Cox risk model of multi-risk perturbed by diffusion
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• Ruin probabilities in a Markovian shot-noise environment
• Finite-time Lundberg inequalities in the Cox case

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