A characterization of equivalent martingale probability measures in a mixed renewal risk model with applications in Risk Theory
Probability
2024-08-02 v2
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.
Keywords
Cite
@article{arxiv.2007.09051,
title = {A characterization of equivalent martingale probability measures in a mixed renewal risk model with applications in Risk Theory},
author = {Spyridon M. Tzaninis and Nikolaos D. Macheras},
journal= {arXiv preprint arXiv:2007.09051},
year = {2024}
}