Martingale results in risk theory with a view to ruin probabilities and diffusions

DOI10.1080/03461238.1992.10413904zbMath0811.62097MaRDI QIDQ4695023

Christian Max Møller

Publication date: 4 May 1995

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

Full work available at URL: https://doi.org/10.1080/03461238.1992.10413904

zbMATH Keywords

marked point process; diffusion approximations; Itô formula; integration by parts; Cox process; piecewise deterministic Markov processes; jump process; exponential martingale; non-life insurance; exponential upper bound; convergence of characteristic functions; infinite time ruin; mixed Poisson case; paths of bounded variations

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60G35: Signal detection and filtering (aspects of stochastic processes)

60G44: Martingales with continuous parameter

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

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Cites Work

• Classical risk theory in an economic environment
• Martingales in Markov processes applied to risk theory
• Exponential inequalities for ruin probabilities in the Cox case
• Martingales and insurance risk
• A general risk process and its properties
• Asymptotic results for the risk process based on marked point processes
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