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A general risk process and its properties

Part of:Markov processesStochastic processes

Published online by Cambridge University Press:  14 July 2016

Thomas H. Scheike
Thomas H. Scheike*
Affiliation:
University of Copenhagen
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Abstract

We construct a risk process, where the law of the next jump time or jump size can depend on the past through earlier jump times and jump sizes. Some distributional properties of this process are established. The compensator is found and some martingale properties are discussed.

Keywords

JUMP PROCESSMARTINGALESCOMPENSATORSCOUNTING PROCESS

MSC classification

Primary:60J75: Jump processes
Secondary:60G46: Martingales and classical analysis60G55: Point processes

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 29 , Issue 1 , March 1992, pp. 73 - 81
Copyright
Copyright © Applied Probability Trust 1992 

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Footnotes

∗

Present address: University of California at Berkeley, Dept. of Statistics, 367 Evans Hall, Berkeley, CA 94720, USA.

References

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