Exponential inequalities for ruin probabilities in the Cox case

1 January 1988

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

Vol. 1988 (1-3) , 77-111
https://doi.org/10.1080/03461238.1988.10413839

Abstract

We consider an insurance model where the underlying point process is a Cox process. Using a martingale approach we obtain extensions of the classical Lundberg inequality.

Keywords

RUIN PROBABILITY
LUNDBERG INEQUALITY
COX PROCESS
MARTINGALE METHODS
LARGE DEVIATIONS

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