Ruin probabilities in a diffusion environment

• 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, Cramer-Lundberg approximations are derived.

Ämnesord

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Probability Theory and Statistics (hsv//eng)

Nyckelord

Ruin probability

Lundberg inequality

Cox process

diffusion process

martingale method

change-of-measure technique

Publikations- och innehållstyp

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