Analytical characterization of a composed, non-homogeneous Poisson process
M. Fisz, K. Urbanik (1956)
Studia Mathematica
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M. Fisz, K. Urbanik (1956)
Studia Mathematica
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A. M. Abouammoh, M. I. Hindi, A. N. Ahmed (1988)
Trabajos de Estadística
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The life distribution H(t) of a device subject to shocks governed by a Poisson process and pure birth process is considered as a function of probabilities P of not surviving the first k shocks. It is shown that some properties of a discrete distribution {P'} are reflected on properties of the continuous life distribution H(t). In particular, if P has the discrete NBUFR properties, then H(t) has the continuous NBUFR and NBAFR properties. The NBUFR and NBAFR life distributions are obtained...
A. Prékopa (1957)
Studia Mathematica
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Nicolas Privault (2002)
Publicacions Matemàtiques
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We define a class of distributions on Poisson space which allows to iterate a modification of the gradient of [1]. As an application we obtain, with relatively short calculations, a formula for the chaos expansion of functionals of jump times of the Poisson process.
M. Mercè Claramunt, M. Teresa Mármol, Ramón Lacayo (2005)
SORT
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In this paper the process of aggregated claims in a non-life insurance portfolio as defined in the classical model of risk theory is modified. The Compound Poisson process is replaced with a more general renewal risk process with interocurrence times of Erlangian type. We focus our analysis on the probability that the process of surplus reaches a certain level before ruin occurs, χ(u,b). Our main contribution is the generalization obtained in the computation of χ(u,b) for the case of...
Jan Hurt, Josef Machek, Josef Štěpán, Dana Vorlíčková (1982)
Mathematica Slovaca
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J. Gani (1963)
Studia Mathematica
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Nicolas Privault, Jiang-Lun Wu (1999)
Annales mathématiques Blaise Pascal
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