Discrete compound Poisson process with curved boundaries: Polynomial structures and recur\,sions

DOI10.1007/S11009-006-9014-2MaRDI QIDQ2644299zbMATH OpenOpenAlexFDO

Authors Claude Lefèvre

Publication date 10 September 2007

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

Full work available at URL https://doi.org/10.1007/s11009-006-9014-2

zbMATH Keywords

order statisticsrisk theorycompound Poisson processrecursive methodsfirst crossing timegeneralized Appell polynomialsdam modellinggeneralized Abel-Gontcharoff polynomials

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited in

(13)

• On the first meeting or crossing of two independent trajectories for some counting processes.
• Finite-time ruin probabilities for discrete, possibly dependent, claim severities
• First-crossing and ballot-type results for some nonstationary sequences
• First crossing of basic counting processes with lower non-linear boundaries: A unified approach through pseudopolynomials (I)
• Compound Poisson process with a Poisson subordinator
• Boundary crossing of order statistics point processes
• Some recent results on the distributions of stopping times of compound Poisson processes with linear boundaries
• scientific article; zbMATH DE number 1762653 (Why is no real title available?)
• About the first crossing of the Poisson process with a curved upper boundary
• Hitting straight lines by compound Poisson process paths
• Ruin problems for a discrete time risk model with non-homogeneous conditions
• On the evaluation of finite-time ruin probabilities in a dependent risk model
• An operator property of the distribution of a nonhomogeneous Poisson process with applications

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