Finite-time Lundberg inequalities in the Cox case
DOI10.1080/03461238.1993.10413911zbMATH Open0785.62094OpenAlexW2147505451MaRDI QIDQ3142172FDOQ3142172
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
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Cites Work
- An introduction to the theory of point processes
- Entropy, a useful concept in risk theory
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- A CONVEXITY PROPERTY OF POSITIVE MATRICES
- Exponential inequalities for ruin probabilities in the Cox case
- Martingales and insurance risk
- A property of the generalized inverse Gaussian distribution with some applications
Cited In (25)
- Ruin theory for the risk process described by PDMPs
- Regime-Switching Periodic Models For Claim Counts
- The hitting time for a Cox risk process
- Estimation of the Lundberg coefficient for a Markov modulated risk model
- Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors
- Ruin by dynamic contagion claims
- Lundberg inequalities in a diffusion environment
- Supermodular Order and Lundberg Exponents
- Ruin probabilities in a diffusion environment
- Title not available (Why is that?)
- Risk theory of the second and third kind
- The time to ruin for a class of Markov additive risk process with two-sided jumps
- Contagion modeling between the financial and insurance markets with time changed processes
- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
- Modelling of extremal events in insurance and finance
- Ruin probabilities for a risk model with two classes of claims
- Two-sided Lundberg inequalities in a Markovian environment
- Hawkes processes in insurance: risk model, application to empirical data and optimal investment
- Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
- Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
- On the typical level crossing time and path
- Optimal reinsurance-investment strategy for a dynamic contagion claim model
- Exponential inequalities for ruin probabilities in the Cox case
- Large claims approximations for risk processes in a Markovian environment
- Optimal reinsurance via BSDEs in a partially observable model with jump clusters
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