THE CRAMÉR-LUNDBERG USING MARTINGALES / O TEOREMA DE CRAMÉR-LUNDBERG VIA MARTINGAIS

AUTOR(ES)

LUZIA DA COSTA TONON

DATA DE PUBLICAÇÃO

2005

RESUMO

In the last decades martingale theory tools have been extensively in mathematical finance. More recently, they have also been used in actuarial mathematics. In this thesis we illustrate this methodology in the proof of the classical Lundberg-Crámer theorem for the ruin problem.

ASSUNTO(S)

martingales atuaria actuary ruina ruin martingais

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