Integral equations for compound distribution functions

DOI10.2307/3215062MaRDI QIDQ4891670zbMATH OpenOpenAlexFDO

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

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)

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(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

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