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A general risk process and its properties
Published online by Cambridge University Press: 14 July 2016
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.
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- Research Papers
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- Copyright
- Copyright © Applied Probability Trust 1992
Footnotes
Present address: University of California at Berkeley, Dept. of Statistics, 367 Evans Hall, Berkeley, CA 94720, USA.
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