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 under a probability measure we characterize all probability measures on the domain of such that and are progressively equivalent and remains a compound renewal process under . 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/)