A semimartingale approach to some problems in Risk Theory

Publisher: Cambridge University Press

E-ISSN: 1783-1350|26|1|15-23

ISSN: 0515-0361

Source: ASTIN Bulletin, Vol.26, Iss.1, 1996-05, pp. : 15-23

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Abstract

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.