RUIN ESTIMATION FOR A GENERAL INSURANCE RISK MODEL

被引：79

作者：

EMBRECHTS, P

SCHMIDLI, H

机构：

来源：

ADVANCES IN APPLIED PROBABILITY | 1994年 / 26卷 / 02期

关键词：

RISK THEORY; RUIN; MARTINGALES; PIECEWISE-DETERMINISTIC MARKOV PROCESSES;

D O I：

10.2307/1427443

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The theory of piecewise-deterministic Markov processes is used in order to investigate insurance risk models where borrowing, investment and inflation are present.

引用

页码：404 / 422

页数：19

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