Author:
Grandell Jan,Schmidli Hanspeter
Abstract
We consider an insurance model, where the underlying point process is a Cox process. Using a martingale approach applied to diffusion processes, finite-time Lundberg inequalities are obtained. By change-of-measure techniques, Cramér–Lundberg approximations are derived.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
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2 articles.
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