scientific article; zbMATH DE number 1423207

MaRDI QIDQ4946947zbMATH OpenFDO

Authors Bernhard Gittenberger

Publication date 24 August 2000

zbMATH Keywords

change of measurederivative securitiesMarkov modulated risk processruin theory

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(2)

• Ruin theory with risk proportional to the free reserve and securitization
• A model in ruin theory using derivative securities

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