Itô calculus for Cramér-Lundberg model
Author:
Affiliation:
1. Department of Mathematical Sciences, Ritsumeikan University
2. Department of Mathematical Sciences, University of Liverpool
Publisher
The Japan Society for Industrial and Applied Mathematics
Link
https://www.jstage.jst.go.jp/article/jsiaml/12/0/12_25/_pdf
Reference10 articles.
1. 1) S. Asmussen and H Albrecher, Ruin Probabilities, Second edition, Advanced Series on Statistical Science & Applied Probability, Vol. 14, World Scientific Publishing Co. Pte. Ltd., Hackensack, NJ, 2010.
2. 2) J Grandell, Aspects of Risk Theory, Springer Series in Statistics: Probability and its Applications, Springer-Verlag, New York, 1991.
3. 3) T Mikosch, Non-Life Insurance Mathematics: An Introduction with Stochastic Processes, Universitext, Springer-Verlag, Berlin, 2004.
4. 4) T Mikosch, Non-Life Insurance Mathematics: An Introduction with the Poisson Process, Second edition, Universitext, Springer-Verlag, Berlin, 2009.
5. 5) T Rolski, H Schmidli, V Schmidt and J Teugels, Stochastic Processes for Insurance and Finance, Wiley Series in Probability and Statistics, John Wiley & Sons, Ltd., Chichester, 1999.
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