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

DOI10.1007/S11009-006-9014-2zbMATH Open1122.60043OpenAlexW2044607007MaRDI QIDQ2644299FDOQ2644299

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

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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)

Cites Work

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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
• Title not available (Why is that?)
• Some recent results on the distributions of stopping times of compound Poisson processes with linear boundaries
• 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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