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arXiv · 1707.02149

A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles

Nikolaos D. Macheras·Spyridon M. Tzaninis
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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.

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Nikolaos D. Macheras, Spyridon M. Tzaninis. 2017-07-07. A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles. https://doi.org/10.15559/20-vmsta148

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