On the distribution of a randomly discounted compound Poisson process

DOI10.1016/0304-4149(95)00076-3zbMath0853.60048OpenAlexW2019352205MaRDI QIDQ1915839

Trygve Nilsen, Jostein Paulsen

Publication date: 5 August 1996

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(95)00076-3

zbMATH Keywords

Brownian motioncompound Poisson process

Mathematics Subject Classification ID

Stochastic integrals (60H05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (12)

Asymptotic normality of discounted random series with applications in reliability and queueing ⋮ Present value distributions with applications to ruin theory and stochastic equations ⋮ NEW RESULTS ON THE DISTRIBUTION OF DISCOUNTED COMPOUND POISSON SUMS ⋮ A uniform asymptotic estimate for discounted aggregate claims with subexponential tails ⋮ Some specific density functions of aggregated discounted claims with dependent risks ⋮ On exponential functionals of Lévy processes ⋮ Continuous-time perpetuities and time reversal of diffusions ⋮ A new formula for some linear stochastic equations with applications ⋮ On the stochastic equation \(\mathcal{L}(Z) = \mathcal{L} [V(X + Z)\) and properties of Mittag-Leffler distributions] ⋮ Integrated insurance risk models with exponential Lévy investment ⋮ Securitization of motor insurance loss rate risks ⋮ On the Range of Exponential Functionals of Lévy Processes

Cites Work

• Ruin problems with compounding assets
• Risk theory in a stochastic economic environment
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
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