Martingales and ruin in a dynamical risk process
- 1 October 1977
- journal article
- research article
- Published by Taylor & Francis in Scandinavian Actuarial Journal
- Vol. 1977 (4) , 217-225
- https://doi.org/10.1080/03461238.1977.10405065
Abstract
The classical Lundberg's model is based on the assumptions: (i) The claim number process is a Poisson process. (ii) The premium income process is deterministic. (iii) The claim amounts are i.i.d. variables independent of the claim number process.Keywords
This publication has 1 reference indexed in Scilit:
- The Surplus Process As A Fair Game—UtilitywiseASTIN Bulletin, 1975