Martingales and the distribution of the time to ruin

Stochastic Processes and their Applications

Volumn 107, Issue 1, 2003, Pages 29-51

  Jacobsen, Martin ^a  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Martingales; Optional sampling; Piecewise deterministic Markov processes; Probability of ruin; Risk process; Time to ruin

Indexed keywords

EID: 0041841608     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(03)00072-3     Document Type: Article

References (10)

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