Aspects of prospective mean values in risk theory

Insurance: Mathematics and Economics

Volumn 18, Issue 3, 1996, Pages 173-181

  Møller, Christian M ^a  

^a NONE

Author keywords

Compound distribution; Exit time; Marked point process; Martingale; Optional sampling; Thiele's differential equation

Indexed keywords

EID: 16144367284     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/0167-6687(96)00003-0     Document Type: Article

References (7)

1. Brémaud, P. (1981). Point Processes and Queues. Springer, New York.
2. Davis, M.H.A. (1993). Markov Models and Optimization. Chapman & Hall, London.
3. Doob, J.L. (1953). Stochastic Processes. John Wiley, New York.
4. Hoem, J.M. (1969). Markov chain models in life insurance. Blätter der Deutschen Gesellschaft für Versicherungsmathematik 9, 91-107.
5. Møller, C.M. (1993). A stochastic version of Thiele's differential equation, Scandinavian Actuarial Journal 1, 1-16.
6. Møller, C.M. (1995). Stochastic differential equations for ruin probabilities. Journal of Applied Probability 32, 74-89.
7. Møller, C.M. (1996). Integral equations for compound distribution functions. Journal of Applied Probability 33, to appear.