A GENERAL RISK PROCESS AND ITS PROPERTIES

Authors
SCHEIKE TH
Citation
Th. Scheike, A GENERAL RISK PROCESS AND ITS PROPERTIES, Journal of Applied Probability, 29(1), 1992, pp. 73-81
Citations number
8
Journal title
Journal of Applied Probability → ACNP
ISSN journal
00219002
Volume
29
Issue
1
Year of publication
1992
Pages
73 - 81
Database
ISI
SICI code
0021-9002(1992)29:1<73:AGRPAI>2.0.ZU;2-G
Abstract
We construct a risk process, where the law of the next jump time or ju mp size can depend on the past through earlier jump times and jump siz es. Some distributional properties of this process are established. Th e compensator is found and some martingale properties are discussed.