Article contents
Ruin probabilities in a diffusion environment
Published online by Cambridge University Press: 14 July 2016
Abstract
We consider an insurance model, where the underlying point process is a Cox process. Using a martingale approach applied to diffusion processes, finite-time Lundberg inequalities are obtained. By change-of-measure techniques, Cramér–Lundberg approximations are derived.
Keywords
MSC classification
- Type
- Part 1. Risk Theory
- Information
- Journal of Applied Probability , Volume 48 , Issue A: New Frontiers in Applied Probability (Journal of Applied Probability Special Volume 48A) , August 2011 , pp. 39 - 50
- Copyright
- Copyright © Applied Probability Trust 2011
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