EXPONENTIAL INEQUALITIES FOR RUIN PROBABILITIES OF RISK PROCESSES PERTURBED BY DIFFUSION

被引：35

作者：

FURRER, HJ

SCHMIDLI, H

机构：

[1] ETH ZURICH,ZURICH,SWITZERLAND

[2] AARHUS UNIV,DK-8000 AARHUS,DENMARK

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1994年 / 15卷 / 01期

关键词：

RUIN PROBABILITY; LUNDBERG INEQUALITY; RISK THEORY; MARTINGALE METHODS; DIFFUSION;

D O I：

10.1016/0167-6687(94)00017-4

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A class of diffusion processes following locally a vector field is constructed and the extended generator is computed for a subset of the domain of the generator. Using this theory, martingales for risk processes perturbed by diffusion are obtained. This leads to exponential bounds for the ruin probability in infinite as well as in finite time.

引用

页码：23 / 36

页数：14

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