A general risk process and its properties
We construct a risk process, where the law of the next jump time or jump size can depend on the past through earlier jump times and jump sizes. Some distributional properties of this process are established. The compensator is found and some martingale properties are discussed.
2016 ◽
Vol 53
(4)
◽
pp. 1166-1177
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2021 ◽
Vol 5
(11)
◽
pp. 20-23