A note on positive supermartingales in ruin theory


Schmidt, Klaus D.


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URL: https://madoc.bib.uni-mannheim.de/1982
URN: urn:nbn:de:bsz:180-madoc-19824
Document Type: Working paper
Year of publication: 1989
Publication language: English
Institution: School of Business Informatics and Mathematics > Sonstige - Fakultät für Mathematik und Informatik
MADOC publication series: Veröffentlichungen der Fakultät für Mathematik und Informatik > Institut für Mathematik > Mannheimer Manuskripte
Subject: 510 Mathematics
Subject headings (SWD): Kolmogorov-Ungleichung , Martingal , Ruintheorie
Keywords (English): Adjustment coefficient , Kolmogorov's inequality , Lundberg's inequality , positive supermartingales , ruin theory
Abstract: In this note we give an elementary proof of Kolmogorov's inequality for positive supermartingales. As an application we obtain a Lundberg type inequality for a class of surplus processes with i.i.d. increments for which an adjustment coefficient need not exist.
Additional information:

Dieser Eintrag ist Teil der Universitätsbibliographie.

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Schmidt, Klaus D. (1989) A note on positive supermartingales in ruin theory. Open Access [Working paper]
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