English

A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles

Probability 2020-03-31 v5

Abstract

Generalizing earlier work of Delbaen and Haezendonck for given compound renewal process SS under a probability measure PP we characterize all probability measures QQ on the domain of PP such that QQ and PP are progressively equivalent and SS remains a compound renewal process under QQ. As a consequence, we prove that any compound renewal process can be converted into a compound Poisson process through a change of measures and we show how this approach is related to premium calculation principles.

Keywords

Cite

@article{arxiv.1707.02149,
  title  = {A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles},
  author = {Nikolaos D. Macheras and Spyridon M. Tzaninis},
  journal= {arXiv preprint arXiv:1707.02149},
  year   = {2020}
}

Comments

Published at https://doi.org/10.15559/20-VMSTA148 in the Modern Stochastics: Theory and Applications (https://vmsta.org/) by VTeX (http://www.vtex.lt/)