Prediction of components in random sums

DOI10.1007/s11009-016-9497-4zbMath1370.60068arXiv1504.07058OpenAlexW2963688566MaRDI QIDQ2397965

Muneya Matsui

Publication date: 14 August 2017

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.07058

zbMATH Keywords

predictionFourier transformLévy processesrandom sumsconditional momentsPanjer recursion

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Inference from stochastic processes and prediction (62M20) Sums of independent random variables; random walks (60G50) Prediction theory (aspects of stochastic processes) (60G25)

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