A characterization of martingale-equivalent mixed compound Poisson processes

DOI10.1214/20-AAP1604zbMath1476.91036arXiv1905.07629OpenAlexW3147740170MaRDI QIDQ2240832

Demetrios P. Lyberopoulos, Nikolaos Demetrios Macheras

Publication date: 4 November 2021

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.07629

zbMATH Keywords

martingalepremium calculation principleregular conditional probabilitymartingale-equivalent measuresmixed compound Poisson process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Risk models (general) (91B05)

Related Items (2)

Applications of a change of measures technique for compound mixed renewal processes to the ruin problem ⋮ Some characterizations of mixed renewal processes

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