Notes on risk theory

Details Notes on risk theory Notes on risk theory

2011-10-12

arxiv.org/abs/1110.2642v1

Mathematics

Probability

Scientific paper

The paper contains a basic course on classical Risk Theory for a compound
Poisson process. It is based on probabilistic proofs using the method of the
"Ballot Theorem" introduced by Tackas. This provides elegant and direct proofs.
Also large deviation methods are used to study the distribution of the time to
ruin.

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