Note on the Relation between Compound and Composed Poisson Processes

Abstract
I. In an article on such processes in ASTIN Bull. (11-3, pp. 45o-451) the author has derived a relation between cPp i.n.s. (compound Poisson processes in the narrow sense) and composed Poisson processes, which is quite general. In this note this relation shall be simplified under the rather weak condition that Po(0, Pro(t) being the distribution of the number of changes occurring in the interval (o, t), for every fixed value of t, tends to a positive limit less than unity when t tends to infinity.
Volume
4:2
Page
191-192
Year
1967
Categories
Financial and Statistical Methods
Loss Distributions
Publications
ASTIN Bulletin
Authors
Carl Philipson