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Document Details : Title: A semimartingale approach to some problems Author(s): SØRENSEN, M. Journal: ASTIN Bulletin Volume: 26 Issue: 1 Date: May 1996 Pages: 15-23 DOI: 10.2143/AST.26.1.563230 Abstract : The purpose of this note is, to draw attention to a semimartingale method which can be applied to very general types of risk models to obtain local martingales or martingales, which can then be used in the now classical way to evaluate ruin probabilities. Relations to the theory of exponential families of stochastic processes are also pointed out and utilized. |
