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A martingale characterization of Pólya-Lundberg processes

Published online by Cambridge University Press:  14 July 2016

Birgit Niese*
Affiliation:
Darmstadt University of Technology
*
Postal address: Department of Mathematics, Darmstadt University of Technology, Schloßgartenstraße 7, D-64289 Darmstadt, Germany. Email address: [email protected]
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Abstract

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We study exponential families within the class of counting processes and show that a mixed Poisson process belongs to an exponential family if and only if it is either a Poisson process or has a gamma structure distribution. This property can be expressed via exponential martingales.

Type
Research Article
Copyright
© Applied Probability Trust 2006 

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