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In the Cramer-Lundberg model, let 0(r) = X(E(ex-1)) - cr for those r-values for which E(ex) exists. Prove that the process (M,(t)) = (eru(t)-(r)t),
In the Cramer-Lundberg model, let 0(r) = X(E(ex-1)) - cr for those r-values for which E(ex) exists. Prove that the process (M,(t)) = (eru(t)-(r)t), is a martingale. (Hint: Use conditioning on So, S1,...).
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Numerical Analysis
Authors: Richard L. Burden, J. Douglas Faires
9th edition
538733519, 978-1133169338, 1133169333, 978-0538733519
