{"title":"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","authors":"N. D. Macheras, Spyridon M. Tzaninis","doi":"10.15559/20-VMSTA148","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":42685,"journal":{"name":"Modern Stochastics-Theory and Applications","volume":"1 1","pages":""},"PeriodicalIF":0.7000,"publicationDate":"2017-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":"{\"title\":\"A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles\",\"authors\":\"N. D. Macheras, Spyridon M. Tzaninis\",\"doi\":\"10.15559/20-VMSTA148\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":42685,\"journal\":{\"name\":\"Modern Stochastics-Theory and Applications\",\"volume\":\"1 1\",\"pages\":\"\"},\"PeriodicalIF\":0.7000,\"publicationDate\":\"2017-07-07\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"5\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Modern Stochastics-Theory and Applications\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.15559/20-VMSTA148\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Modern Stochastics-Theory and Applications","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.15559/20-VMSTA148","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
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.