Aspects of prospective mean values in risk theory

DOI10.1016/0167-6687(96)00003-0zbMath0902.62126OpenAlexW2021914676MaRDI QIDQ1381456

Christian Max Møller

Publication date: 17 March 1998

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(96)00003-0

zbMATH Keywords

marked point processexit timecompound distributionThiele's differential equationoptional samplingconditional mean values

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (1)

A no arbitrage approach to Thiele's differential equation

Cites Work

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• Point processes and queues. Martingale dynamics
• A stochastic version of Thiele's differential equation
• Stochastic differential equations for ruin probabilities
• Integral equations for compound distribution functions
• Markov Chain Models in Life Insurance

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