Note on the Background to the Subject: Theory of Risk, Fundamental Mathematics and Applications

Carl Philipson

ASTIN Bulletin, 1961, vol. 1, issue 5, 256-264

Abstract: By a general theorem the necessary and sufficient condition for a function φ0 (σ) being completely monotonic for σ lying in the right semi-plane, i.e. that the nth derivative with respect to σ has the sign of (— 1)n, is that the function may be represented by the Laplace-Stieltjes integral , where U (v) is a non-decreasing function of v, independent of σ and bounded in every finite interval, σ a real or complex variable represented in the right semi-plane, s a real constant ≤ the real part of σ. By the notation φn (σ) we designate , which for U (v) being independent of σ, as assumed above, is equal to .Definition 1. A compound Poisson process (in the narrow sense) is a process for which the probability distribution of the number of changes in the random function Y (t), constituting the process, occurring while the parameter, which is represented on the positive real axis, is in the interval (o, t) for every value of t, is defined by the following relationthe function φn (σ) being defined by the integral given above and subject to the condition that φ0 (σ) tends to unity, when σ tends to s. The function U (v) in the integrand of φn (σ) is, then, a distribution function which defines the risk distribution, in this case said to be t-independent.

Date: 1961
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:astinb:v:1:y:1961:i:05:p:256-264_00

Access Statistics for this article

More articles in ASTIN Bulletin from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().