A characterization of equivalent martingale probability measures in a mixed renewal risk model with applications in Risk Theory
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Publication:6345302
arXiv2007.09051MaRDI QIDQ6345302FDOQ6345302
Authors: Spyridon M. Tzaninis, Nikolaos Demetrios Macheras 
Publication date: 16 July 2020
Abstract: If a given aggregate process is a compound mixed renewal process under a probability measure , we provide a characterization of all probability measures on the domain of such that and are progressively equivalent and is converted into a compound mixed Poisson process under . 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.
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)
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