Exponential Families of Stochastic Processes

1997 ◽  
Author(s):  
Uwe Küchler ◽  
Michael Sørensen
Keyword(s):  
Stochastic Processes ◽  
Exponential Families

Exponential Families of Stochastic Processes

1998 ◽  
Vol 93 (444) ◽  
pp. 1515
Author(s):  
Valeri Stefanov ◽  
U. Kuchler ◽  
M. Sorensen
Keyword(s):  
Stochastic Processes ◽  
Exponential Families

scholarly journals A semimartingale approach to some problems in Risk Theory

1996 ◽  
Vol 26 (1) ◽  
pp. 15-23 ◽  
Author(s):  
Michael Sørensen
Keyword(s):  
Stochastic Processes ◽  
Risk Theory ◽  
Exponential Families ◽  
Ruin Probabilities ◽  
Risk Models

AbstractThe 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.

Exponential Families of Stochastic Processes: A Unifying Semimartingale Approach

1989 ◽  
Vol 57 (2) ◽  
pp. 123 ◽  
Author(s):  
Uwe Küchler ◽  
Michael Sørensen ◽  
Uwe Kuchler ◽  
Michael Sorensen
Keyword(s):  
Stochastic Processes ◽  
Exponential Families
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