鞅-等效混合复合泊松过程的表征

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY Accounts of Chemical Research Pub Date : 2021-04-01 DOI:10.1214/20-AAP1604

D. P. Lyberopoulos, N. D. Macheras

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引用次数: 1

摘要

如果给定的聚合过程S是概率测度P下的混合复合泊松过程，我们给出了P域上所有概率测度Q的刻画，使得P和Q逐渐等价，而S仍然是一个具有改进性质的混合复合泊松过程。这一结果概括了Delbaen & Haezendonck(1989)的早期工作。本文还讨论了在具有风险消失的不存在免费午餐性质的保险市场中与保费计算原则计算有关的含义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A characterization of martingale-equivalent mixed compound Poisson processes

If a given aggregate process S is a mixed compound Poisson process under a probability measure P , we provide a characterization of all probability measures Q on the domain of P , such that P and Q are progressively equivalent and S remains a mixed compound Poisson process with improved properties. This result generalizes earlier work of Delbaen & Haezendonck (1989). Implications related to the computation of premium calculation principles in an insurance market possessing the property of no free lunch with vanishing risk are also discussed.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.

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