Ruin probabilities in a diffusion environment

DOI10.1239/JAP/1318940454MaRDI QIDQ3094472zbMATH OpenOpenAlexFDO

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

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)

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