Finite-time Lundberg inequalities in the Cox case

DOI10.1080/03461238.1993.10413911MaRDI QIDQ3142172zbMATH OpenOpenAlexFDO

Authors Paul Embrechts, Jan Grandell, Hanspeter Schmidli

Publication date 26 April 1994

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.1993.10413911

zbMATH Keywords

Markov chaintime of ruinrisk processCox processpiecewise deterministic Markov processessurplusinsurance companyintensity processconstruction of martingalesestimates for ruin probabilitiesfinite-time Lundberg inequalityMarkov renewal intensity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

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Cites work

• scientific article; zbMATH DE number 3299973 (Why is no real title available?)
• A CONVEXITY PROPERTY OF POSITIVE MATRICES
• A property of the generalized inverse Gaussian distribution with some applications
• An introduction to the theory of point processes
• Entropy, a useful concept in risk theory
• Exponential inequalities for ruin probabilities in the Cox case
• Martingales and insurance risk

Cited in

(25)

• Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
• Hawkes processes in insurance: risk model, application to empirical data and optimal investment
• Regime-Switching Periodic Models For Claim Counts
• On the typical level crossing time and path
• Ruin theory for the risk process described by PDMPs
• Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors
• Two-sided Lundberg inequalities in a Markovian environment
• Ruin by dynamic contagion claims
• Supermodular Order and Lundberg Exponents
• Optimal reinsurance-investment strategy for a dynamic contagion claim model
• Contagion modeling between the financial and insurance markets with time changed processes
• The hitting time for a Cox risk process
• New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
• scientific article; zbMATH DE number 775003 (Why is no real title available?)
• Risk theory of the second and third kind
• Ruin probabilities in a diffusion environment
• Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
• Modelling of extremal events in insurance and finance
• Exponential inequalities for ruin probabilities in the Cox case
• Lundberg inequalities in a diffusion environment
• The time to ruin for a class of Markov additive risk process with two-sided jumps
• Estimation of the Lundberg coefficient for a Markov modulated risk model
• Optimal reinsurance via BSDEs in a partially observable model with jump clusters
• Large claims approximations for risk processes in a Markovian environment
• Ruin probabilities for a risk model with two classes of claims

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