Hattendorff's theorem for non-smooth continuous-time Markov models I: Theory

Insurance: Mathematics and Economics

Volumn 25, Issue 2, 1999, Pages 181-195

  Milbrodt, Hartmut ^a  

^a UNIVERSITY OF COLOGNE   (Germany)

Author keywords

60J75; 62P05; Hattendorff's theorem; Loss in a given state; Markov jump process; Variance of the loss

Indexed keywords

EID: 0041425916     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(99)00033-5     Document Type: Article

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