Journal article
Indicator Function and Hattendorff Theorem
North American actuarial journal, Vol.7(1), pp.38-47
01/01/2003
DOI: 10.1080/10920277.2003.10596075
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.
Details
- Title: Subtitle
- Indicator Function and Hattendorff Theorem
- Creators
- Hans U. Gerber - Actuarial Science, Ecole des H.E.C. , Université de LausanneBartholomew P.K. Leung - Hong Kong Polytechnic UniversityElias S.W. Shiu - Hong Kong Polytechnic University
- Resource Type
- Journal article
- Publication Details
- North American actuarial journal, Vol.7(1), pp.38-47
- Publisher
- Taylor & Francis Group
- DOI
- 10.1080/10920277.2003.10596075
- ISSN
- 1092-0277
- eISSN
- 2325-0453
- Language
- English
- Date published
- 01/01/2003
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9984257619702771
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