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A characterization of martingale-equivalent mixed compound Poisson processes - MaRDI portal

A characterization of martingale-equivalent mixed compound Poisson processes (Q2240832)

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A characterization of martingale-equivalent mixed compound Poisson processes
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    Statements

    title
    A characterization of martingale-equivalent mixed compound Poisson processes (English)
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    publication date
    4 November 2021
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    zbMATH Keywords
    martingale
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    martingale-equivalent measures
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    mixed compound Poisson process
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    premium calculation principle
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    regular conditional probability
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    Identifiers

    DOI
    10.1214/20-AAP1604
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    Mathematics Subject Classification ID
    91B05
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    60G44
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    60G51
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    60G55
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    zbMATH DE Number
    7420500
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    arXiv ID
    1905.07629
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    OpenAlex ID
    W3147740170
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