Some characterizations of mixed Poisson processes

DOI10.1007/S13171-012-0011-YzbMATH Open1271.60061arXiv1112.5575OpenAlexW2593912467MaRDI QIDQ2392490FDOQ2392490

Authors: Demetrios P. Lyberopoulos, Nikolaos Demetrios Macheras 

Publication date: 1 August 2013

Published in: Sankhyā. Series A (Search for Journal in Brave)

Abstract: A characterization of mixed Poisson processes in terms of disintegrations is proven. As a consequence some further characterizations of such processes via claim interarrival processes, martingales and claim measures are obtained. Some revisions are required

Full work available at URL: https://arxiv.org/abs/1112.5575

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zbMATH Keywords

martingaledisintegrationmixed Poisson processproduct regular conditional probability

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44) Integration and disintegration of measures (28A50)

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Cited In (17)

• Title not available (Why is that?)
• Applications of a change of measures technique for compound mixed renewal processes to the ruin problem
• A martingale characterization of mixed Poisson processes
• On the sample path properties of mixed Poisson processes
• Martingale characteristics of mixed poisson processes
• Mixed exponential processes
• On moment sequences and mixed Poisson distributions
• Asymptotic distributions of statistics and parameter estimates for mixed Poisson processes
• Characterization of poisson distributions in the set of power mixtures
• A martingale characterization of Pólya-Lundberg processes
• Title not available (Why is that?)
• A construction of mixed Poisson processes via disintegrations
• Title not available (Why is that?)
• Some characterizations of mixed renewal processes
• On Poisson-stopped-sums that are mixed Poisson
• A characterization of martingale-equivalent mixed compound Poisson processes
• On the asymptotic behavior of mixed Poisson processes

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