Exponential inequalities for ruin probabilities in the Cox case

Tomas Björk · Jan Grandell

73 citations0/0 files storedScandinavian Actuarial Journal

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Probability and Risk Models Insurance and Financial Risk Management Probability and Statistical Research

Abstract

We consider an insurance model where the underlying point process is a Cox process. Using a martingale approach we obtain extensions of the classical Lundberg inequality.

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1981Point Processes and Queues 1983Point Processes and Queues: Martingale Dynamics.1979An introduction to mathematical risk theory 1986Stochastic Calculus and Applications.1983STOCHASTIC CALCULUS AND APPLICATIONS 1985Queues and Point Processes.1983Queues and Point Processes 1948A generalization of the collective theory of risk in regard to fluctuating basic-probabilities

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1995Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion 1999Non-exponential Bounds for Ruin Probability with Interest Effect Included 1994Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion 2004Doubly periodic non-homogeneous Poisson models for hurricane data 1994Large claims approximations for risk processes in a Markovian environment 1993Finite-time Lundberg inequalities in the Cox case

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