Summary: 1/8
Chapter 11. Poisson processes.
Manual for SOA Exam MLC.
Chapter 11. Poisson processes.
Section 11.6. Compound Poisson process.
c 2009. Miguel A. Arcones. All rights reserved.
Extract from:
"Arcones' Manual for SOA Exam MLC. Fall 2009 Edition",
available at http://www.actexmadriver.com/
c 2009. Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
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Chapter 11. Poisson processes. Section 11.6. Compound Poisson process.
Compound Poisson processes
Definition 1
A stochastic process {X(t) : t 0} is said to be a compound
Poisson process if it can be represented as
X(t) =
N(t)
i=1 Yi if N(t) 1,
0 if N(t) = 0,

Source: Arcones, Miguel A. - Department of Mathematical Sciences, State University of New York at Binghamton

Collections: Mathematics