Some characterizations of mixed Poisson processes

DOI10.1007/S13171-012-0011-YMaRDI QIDQ2392490zbMATH OpenOpenAlexFDO

Authors Demetrios P. Lyberopoulos, Nikolaos Demetrios Macheras

Publication date 1 August 2013

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

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

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)

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

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(17)

• Applications of a change of measures technique for compound mixed renewal processes to the ruin problem
• Asymptotic distributions of statistics and parameter estimates for mixed Poisson processes
• scientific article; zbMATH DE number 1257656 (Why is no real title available?)
• Characterization of poisson distributions in the set of power mixtures
• A construction of mixed Poisson processes via disintegrations
• A martingale characterization of Pólya-Lundberg processes
• On Poisson-stopped-sums that are mixed Poisson
• On moment sequences and mixed Poisson distributions
• On the asymptotic behavior of mixed Poisson processes
• Some characterizations of mixed renewal processes
• A martingale characterization of mixed Poisson processes
• A characterization of martingale-equivalent mixed compound Poisson processes
• On the sample path properties of mixed Poisson processes
• Martingale characteristics of mixed poisson processes
• scientific article; zbMATH DE number 7662452 (Why is no real title available?)
• scientific article; zbMATH DE number 1865405 (Why is no real title available?)
• Mixed exponential processes

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