On mixed poisson processes and martingales

Authors
Grigelionis, B.
Citation
B. Grigelionis,, On mixed poisson processes and martingales, Scandinavian actuarial journal , 1998(1), 1998, pp. 81-88
Journal title
Scandinavian actuarial journal → ACNP
ISSN journal
03461238
Volume
1998
Issue
1
Year of publication
1998
Pages
81 - 88
Database
ACNP
SICI code
Abstract
In this paper O. Lundberg's martingale characterization of mixed Poisson processes with finite mean value within birth processes is extended for mixed Poisson processes with arbitrary mixing distributions within general point processes. Some applications of this result are also discussed.