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Volumn 26, Issue 1, 1996, Pages 15-23

A semimartingale approach to some problems in Risk Theory

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EID: 85011452677     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.26.1.563230     Document Type: Article
Times cited : (4)

References (16)
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  • 3
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    • Risk theory for the compound Poisson process that is perturbed by diffusion
    • Dufresne, F. & Gerber, H.U. (1991). Risk theory for the compound Poisson process that is perturbed by diffusion. Insurance Math. Econom. 10, 51–59.
    • (1991) Insurance Math. Econom. , vol.10 , pp. 51-59
    • Dufresne, F.1    Gerber, H.U.2
  • 4
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    • Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
    • Furrer, H.J. & Schmidli, H. (1994). Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion. Insurance Math. Econom. 15, 23–36.
    • (1994) Insurance Math. Econom. , vol.15 , pp. 23-36
    • Furrer, H.J.1    Schmidli, H.2
  • 5
    • 0000437178 scopus 로고
    • An extension of the renewal equation and its application in the collective theory of risk
    • Gerber, H.U. (1970). An extension of the renewal equation and its application in the collective theory of risk. Skand. Aktuar Tidskr. 53, 205–210.
    • (1970) Skand. Aktuar Tidskr. , vol.53 , pp. 205-210
    • Gerber, H.U.1
  • 9
    • 0009299906 scopus 로고
    • Caractéristiques locales et conditions de continuité absolue pour les semimartingales
    • Jacod, J. & Mémin, J. (1976). Caractéristiques locales et conditions de continuité absolue pour les semimartingales. Z. Wahr. verv. Geb. 35, 1–37.
    • (1976) Z. Wahr. verv. Geb. , vol.35 , pp. 1-37
    • Jacod, J.1    Mémin, J.2
  • 11
    • 0001606070 scopus 로고
    • Exponential families of stochastic processes: A unifying semimartingale approach
    • Küchler, U. & Sørensen, M. (1989). Exponential families of stochastic processes: A unifying semimartingale approach. Internat. Statist. Rev. 57, 123–144.
    • (1989) Internat. Statist. Rev. , vol.57 , pp. 123-144
    • Küchler, U.1    Sørensen, M.2
  • 12
    • 38149147084 scopus 로고
    • Exponential families of stochastic processes and Levy processes
    • Küchler, U. & Sørensen, M. (1994): Exponential families of stochastic processes and Levy processes. J. Statist. Plann. Inference. 39, 211–237.
    • (1994) J. Statist. Plann. Inference , vol.39 , pp. 211-237
    • Küchler, U.1    Sørensen, M.2
  • 14
    • 85011508302 scopus 로고
    • Research Report 289, Dept. Theor. Statist., Univ. of Aarhus.
    • Schmidli, H. (1994). Martingales and insurance risk. Research Report 289, Dept. Theor. Statist., Univ. of Aarhus.
    • (1994) Martingales and insurance risk
    • Schmidli, H.1
  • 15
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    • Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
    • Schmidli, H. (1995). Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion. Insurance Math. Econom. 16, 135–149.
    • (1995) Insurance Math. Econom. , vol.16 , pp. 135-149
    • Schmidli, H.1


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