Indicator Function and Hattendorff Theorem

Hans Gerber, Bartholomew Leung and Elias Shiu

North American Actuarial Journal, 2003, vol. 7, issue 1, 38-47

Abstract: This paper presents an integration-by-parts proof of the Hattendorff theorem in the general fully continuous insurance model. The proof motivates a derivation of the theorem in the general fully discrete insurance model. Increments of a martingale over disjoint time intervals are uncorrelated random variables; the paper explains that the Hattendorff theorem can be viewed as an application of this result. A notable feature of the paper is the extensive use of the indicator function.

Date: 2003
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DOI: 10.1080/10920277.2003.10596075

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