Martingales and insurance risk

DOI10.1080/15326348908807105zbMATH Open0676.62083OpenAlexW2123681453MaRDI QIDQ3831908FDOQ3831908

Authors: Angelos Dassios, Paul Embrechts 

Publication date: 1989

Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326348908807105

Recommendations

• Ruin probabilities of a surplus process described by PDMPs
• Ruin theory for the risk process described by PDMPs
• Distribution of deficit at ruin for a PDMP insurance risk model
• Ruin estimation for a general insurance risk model
• Martingales and the distribution of the time to ruin.
• Approximation methods for piecewise deterministic Markov processes and their costs
• Conditional law of risk processes given that ruin occurs
• scientific article
• Joint distribution of the extremes before ruin and the deficit in Markov-modulated risk models

zbMATH Keywords

risk processrisk theoryprobability of ruinoptional stopping theorempremiumsclaim sizesbounds of Lundberg typeDynkin's identityoptimal barrier strategiesperiodical claim arrival intensitiesrenewal-type arrivals

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44)

Cited In (94)

• Ruin theory for the risk process described by PDMPs
• The effect of interest on negative surplus
• Piecewise deterministic Markov processes and their application to risk theory
• Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions
• The probabilities of absolute ruin in the renewal risk model with constant force of interest
• On the time value of absolute ruin with debit interest
• The expected time to ruin in a risk process with constant barrier via martingales
• Regime-Switching Periodic Models For Claim Counts
• On some measures of the severity of ruin in the classical Poisson model
• Approximation of Optimal Reinsurance and Dividend Payout Policies
• Risk theory in a stochastic economic environment
• Ruin probabilities in the presence of heavy-tails and interest rates
• Ruin by dynamic contagion claims
• Strategies for Dividend Distribution: A Review
• A Conversation With Paul Embrechts
• Total Duration of Negative Surplus for the Risk Process with Constant Interest Force
• The perturbed compound Poisson risk process with investment and debit interest
• An application of risk theory to mortgage lending
• Lévy Processes, Phase-Type Distributions, and Martingales
• FROM RUIN TO BANKRUPTCY FOR COMPOUND POISSON SURPLUS PROCESSES
• Dividend Barrier Strategies in A Renewal Risk Model with Generalized Erlang Interarrival Times
• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
• Martingales and the distribution of the time to ruin.
• On the distribution of the surplus of the D-E model prior to and at ruin
• Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
• Martingales in life insurance
• Computational methods in risk theory: a matrix-algorithmic approach
• On the expectation of total discounted operating costs up to default and its applications
• Absolute ruin in the compound Poisson risk model with constant dividend barrier
• On the total operating costs up to default in a renewal risk model
• Smoothness of certain functions in two kinds of risk models with a barrier dividend strategy
• Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts
• The distribution of the interval between events of a Cox process with shot noise intensity
• Differentiation of some functionals of risk processes, and optimal reserve allocation
• On a risk model with debit interest and dividend payments
• Martingale applicate alla teoria del rischio: Processi di guadagno a submartingala e aggiustabilità
• Optimisation in Non-Life Insurance
• Study of a risk model based on the entrance process
• Mathematical model of banking operation
• A risk model with renewal shot-noise Cox process
• Minimization of absolute ruin probability under negative correlation assumption
• Doubly periodic non-homogeneous Poisson models for hurricane data
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• On the absolute ruin in a map risk model with debit interest
• Classical risk theory in an economic environment
• On occupation times for a risk process with reserve-dependent premium
• On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance
• Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
• Title not available (Why is that?)
• Ruin theory with compounding assets -- a survey
• Total duration of negative surplus for the dual model
• On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
• Optimizing venture capital investments in a jump diffusion model
• A multivariate stochastic hybrid model with switching coefficients and jumps: solution and distribution
• Long-Term Risk: A Martingale Approach
• Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform
• Ruin probabilities of a surplus process described by PDMPs
• Title not available (Why is that?)
• Exact simulation of Ornstein–Uhlenbeck tempered stable processes
• Conditional law of risk processes given that ruin occurs
• Absolute ruin problems for the risk processes with interest and a constant dividend barrier
• Ruin theory with excess of loss reinsurance and reinstatements
• Optimal strategies for impulse control of piecewise deterministic Markov processes
• On the time value of absolute ruin for a multi-layer compound Poisson model under interest force
• A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
• On absolute ruin minimization under a diffusion approximation model
• Title not available (Why is that?)
• Optimal payout policy in presence of downside risk
• The use of vector-valued martingales in risk theory
• Occupation measure and local time of classical risk processes
• On the time value of absolute ruin with tax
• Finite-time Lundberg inequalities in the Cox case
• Ruin probabilities under capital constraints
• On the generalized Gerber-Shiu function for surplus processes with interest
• The first exit time and ruin time for a risk process with reserve-dependent income.
• Absolute ruin in the compound Poisson model with credit and debit interests and liquid reserves
• A stochastic jump inventory model with deteriorating items
• Minimizing the probability of absolute ruin under ambiguity aversion
• Applications of a change of measures technique for compound mixed renewal processes to the ruin problem
• A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK
• Distribution of deficit at ruin for a PDMP insurance risk model
• The Probability of Ultimate Ruin with a Variable Premium Loading—a Special Case
• Approximation methods for piecewise deterministic Markov processes and their costs
• Efficient simulation of Lévy-driven point processes
• On a mean reverting dividend strategy with Brownian motion
• Affine Storage and Insurance Risk Models
• Martingale results in risk theory with a view to ruin probabilities and diffusions
• On the time and the number of claims when the surplus drops below a certain level
• Title not available (Why is that?)
• On the Gerber-Shiu discounted penalty function for a surplus process described by PDMPs
• Moments of renewal shot-noise processes and their applications
• Dividend payments in the classical risk model under absolute ruin with debit interest
• Ruin probabilities in multivariate risk models with periodic common shock
• Approximations of piecewise deterministic Markov processes and their convergence properties

This page was built for publication: Martingales and insurance risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3831908)