A characterization of equivalent martingale probability measures in a mixed renewal risk model with applications in Risk Theory

MaRDI QIDQ6345302zbMATH OpenFDO

Authors Spyridon M. Tzaninis, Nikolaos Demetrios Macheras

Publication date 16 July 2020

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Martingales with continuous parameter (60G44) Renewal theory (60K05) Measures and integrals in product spaces (28A35) Probabilistic measure theory (60A10)

Abstract: If a given aggregate process $S$ is a compound mixed renewal process under a probability measure $P$, we provide a characterization of all probability measures $Q$ on the domain of $P$ such that $Q$ and $P$ are progressively equivalent and $S$ is converted into a compound mixed Poisson process under $Q$. This result extends earlier works of Delbaen & Haezendonck [2], Embrechts & Meister [5], Lyberopoulos & Macheras [11], and of the authors [14]. Implications to the ruin problem and to the computation of premium calculation principles in an insurance market possessing the property of no free lunch with vanishing risk are also discussed.

This page was built for publication: A characterization of equivalent martingale probability measures in a mixed renewal risk model with applications in Risk Theory

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6345302)