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 processMarkovian environmentmartingale representationPanjer recursion formularisk process

Mathematics Subject Classification ID

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

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

Cited in

(4)

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

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)