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

DOI10.1016/S0167-6687(99)00033-5zbMath0946.62091MaRDI QIDQ1962827

Hartmut Milbrodt

Publication date: 29 October 2000

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

zbMATH Keywords

Markov jump processHattendorff's theoremloss in a given statevariance of loss

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Insuring wind energy production ⋮ Hattendorff's theorem for non-smooth continuous-time Markov models. II: Application ⋮ Indicator Function and Hattendorff Theorem

Cites Work

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