续期风险模型中等价鞅测度的表征及其在保费计算中的应用

IF 0.7 Q3 STATISTICS & PROBABILITY Modern Stochastics-Theory and Applications Pub Date : 2017-07-07 DOI:10.15559/20-VMSTA148
N. D. Macheras, Spyridon M. Tzaninis
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引用次数: 5

摘要

在推广Delbaen和Haezendonck关于概率测度$P$下的复合更新过程$S$的早期工作的基础上,我们在$P$域上刻画了所有的概率测度$Q$,使得$Q$和$P$是渐进等价的,并且$S$仍然是$Q$下的复合更新过程。因此,我们证明了任何复合更新过程都可以通过改变措施转化为复合泊松过程,并展示了这种方法如何与溢价计算原则相关联。
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A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles
Generalizing earlier work of Delbaen and Haezendonck for given compound renewal process $S$ under a probability measure $P$ we characterize all probability measures $Q$ on the domain of $P$ such that $Q$ and $P$ are progressively equivalent and $S$ remains a compound renewal process under $Q$. 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.
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来源期刊
Modern Stochastics-Theory and Applications
Modern Stochastics-Theory and Applications STATISTICS & PROBABILITY-
CiteScore
1.30
自引率
50.00%
发文量
0
审稿时长
10 weeks
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