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Indicator function and Hattendorff theorem. (English) Zbl 1084.62529

Summary: 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 functions.

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
91B30 Risk theory, insurance (MSC2010)

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References:

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