scientific article; zbMATH DE number 775003

MaRDI QIDQ4839504zbMATH OpenFDO

Authors Bronius Grigelionis

Publication date 8 October 1995

zbMATH Keywords

Cox processexponential inequalitiesinsurance modelmartingale approachspectral problem

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Continuous-time Markov processes on general state spaces (60J25) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Exponential inequalities for ruin probabilities in the Cox case
• Finite-time Lundberg inequalities in the Cox case
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Cited in

(10)

• Two-sided Lundberg inequalities in a Markovian environment
• Lundberg inequalities in a diffusion environment
• Ruin probabilities in a diffusion environment
• Finite-time Lundberg inequalities in the Cox case
• Exponential inequalities for ruin probabilities in the Cox case
• scientific article; zbMATH DE number 868165 (Why is no real title available?)
• Expansions for Markov-modulated systems and approximations of ruin probability
• Lundberg inequalities for a Cox model with a piecewise constant intensity
• Lundberg-type inequalities for non-homogeneous risk models
• scientific article; zbMATH DE number 972632 (Why is no real title available?)

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