The use of vector-valued martingales in risk theory

DOI10.1007/s11857-008-0049-zzbMath1184.91107OpenAlexW2048024604MaRDI QIDQ949432

Lothar Breuer, Andrei L. Badescu

Publication date: 21 October 2008

Published in: Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11857-008-0049-z

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Related Items (7)

Computing finite-time survival probabilities using multinomial approximations of risk models ⋮ The maximum severity of ruin in a perturbed risk process with Markovian arrivals ⋮ First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type ⋮ Perturbed Risk Processes Analyzed as Fluid Flows ⋮ Erlangian approximation to finite time ruin probabilities in perturbed risk models ⋮ Ruin time and aggregate claim amount up to ruin time for the perturbed risk process ⋮ Recursive Calculation of the Dividend Moments in a Multi-threshold Risk Model

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