| Article ID: | iaor19932466 |
| Country: | Israel |
| Volume: | 29 |
| Issue: | 1 |
| Start Page Number: | 73 |
| End Page Number: | 81 |
| Publication Date: | Mar 1992 |
| Journal: | Journal of Applied Probability |
| Authors: | Scheike Thomas H. |
The paper constructs 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.