Lundberg inequalities for a Cox model with a piecewise constant intensity
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Publication:4877417
DOI10.2307/3215277zbMATH Open0845.60066OpenAlexW2031156381MaRDI QIDQ4877417FDOQ4877417
Authors: Hanspeter Schmidli 
Publication date: 16 September 1996
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3215277
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Cox modelchange of measureruin probabilitymartingale methodsrisk theoryLundberg inequalityCramér-Lundberg approximation
Cited In (15)
- Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
- 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
- Ruin by dynamic contagion claims
- Optimal claim-dependent proportional reinsurance under a self-exciting claim model
- Joint distributions of some actuarial random vectors for the Cox risk model
- Applications of a change of measures technique for compound mixed renewal processes to the ruin problem
- Title not available (Why is that?)
- Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
- Optimal reinsurance-investment strategy for a dynamic contagion claim model
- Exponential inequalities for ruin probabilities in the Cox case
- Nonparametric tests for Cox processes
- On the Gerber-Shiu function and change of measure
- Finite-time Lundberg inequalities in the Cox case
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