Integral equations for compound distribution functions

DOI10.2307/3215062zbMATH Open0855.60047OpenAlexW4230146581MaRDI QIDQ4891670FDOQ4891670

Authors: Christian Max Møller 

Publication date: 14 January 1997

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3215062

Recommendations

• Integral equations for the aggregate claim amount
• scientific article; zbMATH DE number 5029465
• Present value distributions with applications to ruin theory and stochastic equations
• Markov models and Thiele's integral equations for the prospective reserve
• A system of integro-differential-difference equations in risk theory, using compound birth-death processes

zbMATH Keywords

marked point processmartingale representationrisk processMarkovian environmentPanjer recursion formula

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) First-order nonlinear hyperbolic equations (35L60)

Cited In (4)

• Aspects of prospective mean values in risk theory
• A Diffusion Perturbed Risk Process with Stochastic Return on Investments
• Integral equations for the aggregate claim amount
• Evaluation techniques for distributions arising from stochastic processes defined from a lagrangian

This page was built for publication: Integral equations for compound distribution functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4891670)