Discrete Compound Poisson Process with Curved Boundaries: Polynomial Structures and Recursions

Claude Lefèvre ()
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Claude Lefèvre: Université Libre de Bruxelles

Methodology and Computing in Applied Probability, 2007, vol. 9, issue 2, 243-262

Abstract: Abstract This paper provides a review of recent results, most of them published jointly with Ph. Picard, on the exact distribution of the first crossing of a Poisson or discrete compound Poisson process through a given nondecreasing boundary, of curved or linear shape. The key point consists in using an underlying polynomial structure to describe the distribution, the polynomials being of generalized Appell type for an upper boundary and of generalized Abel–Gontcharoff type for a lower boundary. That property allows us to obtain simple and efficient recursions for the numerical determination of the distribution.

Keywords: first crossing time; compound Poisson process; order statistics; generalized Appell polynomials; generalized Abel–Gontcharoff polynomials; recursive methods; dam modelling; risk theory; 60G40; 12E10; 62P05 (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s11009-006-9014-2

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