Finite-time Lundberg inequalities in the Cox case

Authors
Embrechts, P. Schmidli, H. Grandell, J.
Citation
P. Embrechts, et al., Finite-time Lundberg inequalities in the Cox case, Scandinavian actuarial journal , 1993(1), 1993, pp. 17-41
Journal title
Scandinavian actuarial journal → ACNP
ISSN journal
03461238
Volume
1993
Issue
1
Year of publication
1993
Pages
17 - 41
Database
ACNP
SICI code
Abstract
We consider an insurance model, where the underlying point process is a Cox process. Using a martingale approach, applied to piecewise-deterministic Markov processes, finite-time Lundberg inequalities are obtained.