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A semimartingale approach to some problems in Risk Theory

Published online by Cambridge University Press:  29 August 2014

Michael Sørensen
Michael Sørensen*
Affiliation:
Department of Theoretical Statistics, University of Aarhus, Ny Munkegade, DK-8000 Aarhus C, Denmark
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Abstract

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The purpose of this note is to draw attention to a semimartingale method which can be applied to very general types of risk models to obtain local martingales or martingales, which can then be used in the now classical way to evaluate ruin probabilities. Relations to the theory of exponential families of stochastic processes are also pointed out and utilized.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 26 , Issue 1 , May 1996 , pp. 15 - 23
Copyright
Copyright © International Actuarial Association 1996

References

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