Stochastic differential equations for ruin probabilities

DOI10.2307/3214922zbMath0816.60043OpenAlexW4238960363MaRDI QIDQ4833720

Christian Max Møller

Publication date: 23 May 1995

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214922

zbMATH Keywords

Markov processpoint processmartingale representationMarkovian environmentprobabilities of ruin in finite and infinite time

Mathematics Subject Classification ID

First-order nonlinear hyperbolic equations (35L60) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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