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Volumn 33, Issue 2, 1996, Pages 388-399

Integral equations for compound distribution functions

(1)  Møller, Christian Max a  

a NONE

Author keywords

Marked point process; Markovian environment; Martingale representation; Panjer recursion formula; Risk process

Indexed keywords


EID: 0030502738     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0021900200099800     Document Type: Article
Times cited : (2)

References (12)
  • 1
    • 84857400003 scopus 로고
    • Risk theory in a Markovian environment
    • ASMUSSEN, S, (1989) Risk theory in a Markovian environment. Scand. Act. J., 69-100.
    • (1989) Scand. Act. J. , pp. 69-100
    • Asmussen, S.1
  • 3
    • 0000816682 scopus 로고
    • Piecewise deterministic Markov processes: A general class of non-diffusion stochastic models
    • DAVIS, M. H. A. (1984) Piecewise deterministic Markov processes: a general class of non-diffusion stochastic models, J. R Statist. Soc. 46, 353-388.
    • (1984) J. R Statist. Soc. , vol.46 , pp. 353-388
    • Davis, M.H.A.1
  • 5
    • 0039087478 scopus 로고
    • Martingale results in risk theory with a view to ruin probabilities
    • MØLLER, C. M. (1992) Martingale results in risk theory with a view to ruin probabilities. Scand Act. J., 123-139.
    • (1992) Scand Act. J. , pp. 123-139
    • MØller, C.M.1
  • 6
    • 84861222798 scopus 로고
    • A stochastic version of Thiele's differential equation
    • MØLLER, C. M. (1993) A stochastic version of Thiele's differential equation. Scand. Act. J., 1-16.
    • (1993) Scand. Act. J. , pp. 1-16
    • MØller, C.M.1
  • 7
    • 21844524744 scopus 로고
    • Stochastic differential equations for ruin probabilities
    • MØLLER, C. M. (1995) Stochastic differential equations for ruin probabilities. J. Appl. Prob. 32, 74-89.
    • (1995) J. Appl. Prob. , vol.32 , pp. 74-89
    • MØller, C.M.1
  • 8
    • 84958437977 scopus 로고
    • Recursive evaluation of a family of compound distributions
    • PANJER, H. H. (1981) Recursive evaluation of a family of compound distributions. ASTIN Bullet. 12, 22-26.
    • (1981) ASTIN Bullet. , vol.12 , pp. 22-26
    • Panjer, H.H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.