On the distribution of a randomly discounted compound Poisson process

DOI10.1016/0304-4149(95)00076-3MaRDI QIDQ1915839zbMATH OpenOpenAlexFDO

Authors Trygve Nilsen, Jostein Paulsen

Publication date 5 August 1996

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(95)00076-3

zbMATH Keywords

Brownian motioncompound Poisson process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic integrals (60H05)

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• scientific article; zbMATH DE number 3425963 (Why is no real title available?)
• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 52608 (Why is no real title available?)
• Risk theory in a stochastic economic environment
• Ruin problems with compounding assets
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding

Cited in

(16)

• Problems in sequential decision between hypotheses for a combined Poisson process with exponential jumps
• A new formula for some linear stochastic equations with applications
• Discrete compound Poisson process with curved boundaries: Polynomial structures and recur\,sions
• Asymptotic normality of discounted random series with applications in reliability and queueing
• Integrated insurance risk models with exponential Lévy investment
• A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
• Securitization of motor insurance loss rate risks
• Present value distributions with applications to ruin theory and stochastic equations
• On the range of exponential functionals of Lévy processes
• An embedding of compensated compound Poisson processes with applications to local times
• scientific article; zbMATH DE number 1031451 (Why is no real title available?)
• NEW RESULTS ON THE DISTRIBUTION OF DISCOUNTED COMPOUND POISSON SUMS
• On the stochastic equation \(\mathcal{L}(Z) = \mathcal{L} [V(X + Z)]\) and properties of Mittag-Leffler distributions
• Continuous-time perpetuities and time reversal of diffusions
• On exponential functionals of Lévy processes
• Some specific density functions of aggregated discounted claims with dependent risks

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