On the distribution of a randomly discounted compound Poisson process
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- Harrison, J. Michael, 1977. "Ruin problems with compounding assets," Stochastic Processes and their Applications, Elsevier, vol. 5(1), pages 67-79, February.
- Paulsen, Jostein, 1993. "Risk theory in a stochastic economic environment," Stochastic Processes and their Applications, Elsevier, vol. 46(2), pages 327-361, June.
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- Gjessing, Håkon K. & Paulsen, Jostein, 1997. "Present value distributions with applications to ruin theory and stochastic equations," Stochastic Processes and their Applications, Elsevier, vol. 71(1), pages 123-144, October.
- Bae, Taehan & Kim, Changki & Kulperger, Reginald J., 2009. "Securitization of motor insurance loss rate risks," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 48-58, February.
- Zhang, Zhehao, 2019. "On the stochastic equation L(Z)=L[V(X+Z)] and properties of Mittag–Leffler distributions," Applied Mathematics and Computation, Elsevier, vol. 361(C), pages 365-376.
- Klüppelberg, Claudia & Kostadinova, Radostina, 2008. "Integrated insurance risk models with exponential Lévy investment," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 560-577, April.
- Kardaras, Constantinos & Robertson, Scott, 2017. "Continuous-time perpetuities and time reversal of diffusions," LSE Research Online Documents on Economics 67495, London School of Economics and Political Science, LSE Library.
- Anita Behme & Alexander Lindner, 2015. "On Exponential Functionals of Lévy Processes," Journal of Theoretical Probability, Springer, vol. 28(2), pages 681-720, June.
- Constantinos Kardaras & Scott Robertson, 2017. "Continuous-time perpetuities and time reversal of diffusions," Finance and Stochastics, Springer, vol. 21(1), pages 65-110, January.
- Hao, Xuemiao & Tang, Qihe, 2008. "A uniform asymptotic estimate for discounted aggregate claims with subexponential tails," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 116-120, August.
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Keywords
Compound Poisson process Brownian motion Laplace transform Hypergeometric differential equation;Statistics
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