 Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2021/iii/paper-207/4/b/solution

The cumulative hazard function is defined through the conditional mean increment

E {d N (t) ∣ Y (t) = y (t)} = y (t) d H (t) .

Equivalently,

d H (t) = E {d N (t) ∣ Y (t) = 1}

and

H (t) = \int_{0}^{t} d H (u)

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