A characterization of progressively equivalent probability measures preserving the structure of a compound mixed renewal process
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Publication:6344818
arXiv2007.05289MaRDI QIDQ6344818FDOQ6344818
Authors: Spyridon M. Tzaninis, Nikolaos Demetrios Macheras 
Publication date: 10 July 2020
Abstract: Generalizing earlier works of Delbaen & Haezendonck [5] as well as of [18] and [16] for given compound mixed renewal process S under a probability measure P, we characterize all those probability measures Q on the domain of P such that Q and P are progressively equivalent and S remains a compound mixed renewal process under Q with improved properties. As a consequence, we prove that any compound mixed renewal process can be converted into a compound mixed Poisson process through a change of measures. Applications related to the ruin problem and to the computation of premium calculation principles in an insurance market without arbitrage opportunities are discussed in [26] and [27], respectively.
Actuarial mathematics (91G05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Martingales with continuous parameter (60G44) Renewal theory (60K05) Probabilistic measure theory (60A10)
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