scientific article; zbMATH DE number 7662452

MaRDI QIDQ5881789zbMATH OpenFDO

Authors Spyridon M. Tzaninis, Nikolaos Demetrios Macheras

Publication date 13 March 2023

Full work available at URL https://arxiv.org/abs/2007.05289, https://alea.impa.br/articles/v20/20-09.pdf

zbMATH Keywords

change of measurescompound mixed renewal processmartingaleprogressively equivalent measuresregular conditional probabilitiesruin probability

Mathematics Subject Classification ID

Probabilistic measure theory (60A10) Martingales with continuous parameter (60G44) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Renewal theory (60K05) Actuarial mathematics (91G05)

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Cites work

• A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles
• A construction of mixed Poisson processes via disintegrations
• A martingale approach to premium calculation principles in an arbitrage free market
• Applications of a change of measures technique for compound mixed renewal processes to the ruin problem
• Basics of Applied Stochastic Processes
• Disintegration and compact measures.
• Erratum to: ``Some characterizations of mixed Poisson processes
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 877811 (Why is no real title available?)
• Martingales and insurance risk
• Measure theory
• Pragmatic insurance option pricing
• Pricing of reinsurance contracts in the presence of catastrophe bonds
• Probability theory. Translated from the German by Robert B. Burckel
• Risk theory
• Simulation of ruin probabilities
• Some characterizations for Markov processes as mixed renewal processes
• Some characterizations of mixed Poisson processes
• Some characterizations of mixed renewal processes
• Splitting of liftings in products of probability spaces.
• Stochastic time changes in catastrophe option pricing
• The existence of regular conditional probabilities: Necessary and sufficient conditions

Cited in

(6)

• A characterization of martingale-equivalent mixed compound Poisson processes
• A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles
• scientific article; zbMATH DE number 5356196 (Why is no real title available?)
• A characterization of progressively equivalent probability measures preserving the structure of a compound mixed renewal process
• Extensions of Panjer's recursion for mixed compound distributions
• A change of measures technique for compound mixed renewal processes with applications in risk theory

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