A semimartingale approach to some problems in Risk Theory

Michael Sørensen
1996 ASTIN Bulletin: The Journal of the International Actuarial Association  
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.
doi:10.2143/ast.26.1.563230 fatcat:xt7bflxghzcmrlsgmabtxgk24u