An Up-Bound of Ruin with Two Claim Processes and Property of Martingales

In this paper, we consider a risk model with two classes of insurance business studied by Yuen[3]. One claim arrival process is a Poisson, process, the other is an Erlang(2) process. With help of a good property of martingales proved in the paper, an Lundberg-like up-bound for the ultimate ruin probability is derived

MoreLess

Year of publication:	2018
Authors:	Li, Junhai
Other Persons:	Liu, Zaiming (contributor)
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Martingal \| Martingale \| Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process \| Wahrscheinlichkeitsrechnung \| Probability theory

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (11 p)
Series:	Mathematics Preprint Archive ; Vol. 2004, Issue 5, pp 346-356
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2004 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012919450