Finite-time Lundberg inequalities in the Cox case

1 January 1993

journal article
research article
Published by Taylor & Francis in Scandinavian Actuarial Journal

Vol. 1993 (1) , 17-41
https://doi.org/10.1080/03461238.1993.10413911

Abstract

We consider an insurance model, where the underlying point process is a Cox process. Using a martingale approach, applied to piecewise-deterministic Markov processes, finite-time Lundberg inequalities are obtained.

Keywords

This publication has 8 references indexed in Scilit:

Aspects of Risk Theory
Published by Springer Nature ,1991
Martingales and insurance risk
Communications in Statistics. Stochastic Models, 1989
Exponential inequalities for ruin probabilities in the Cox case
Scandinavian Actuarial Journal, 1988
Entropy, a useful concept in risk theory
Scandinavian Actuarial Journal, 1986
Markov Processes
Published by Wiley ,1986
Loss Distributions
Wiley Series in Probability and Statistics, 1984
A property of the generalized inverse Gaussian distribution with some applications
Journal of Applied Probability, 1983
A CONVEXITY PROPERTY OF POSITIVE MATRICES
The Quarterly Journal of Mathematics, 1961