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Ruin estimation for a general insurance risk model

Part of: Special processes Applications

Published online by Cambridge University Press:  01 July 2016

Paul Embrechts  and
Hanspeter Schmidli
Paul Embrechts
Affiliation:
ETH Zurich
Hanspeter Schmidli*
Affiliation:
ETH Zurich
*
* Postal address: Department of Mathematics, ETH-Zentrum, CH-8092 Zürich, Switzerland.
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Abstract

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

Keywords

RISK THEORYRUINMARTINGALESPIECEWISE-DETERMINISTIC MARKOV PROCESSES

MSC classification

Primary: 60K30: Applications (congestion, allocation, storage, traffic, etc.)
Secondary: 62P05: Applications to actuarial sciences and financial mathematics
Type
General Applied Probability
Information
Advances in Applied Probability , Volume 26 , Issue 2 , June 1994 , pp. 404 - 422
Copyright
Copyright © Applied Probability Trust 1994 

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