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

DOI10.15559/20-VMSTA148zbMath1435.60039arXiv1707.02149OpenAlexW2939886933MaRDI QIDQ2309772

Spyridon M. Tzaninis, Nikolaos Demetrios Macheras

Publication date: 1 April 2020

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.02149

zbMATH Keywords

martingalecompound renewal processmartingale measureschange of measurespremium calculation principleprogressively equivalent (martingale) measures

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Measures and integrals in product spaces (28A35) Credit risk (91G40) Renewal theory (60K05)

Related Items (3)

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

Cites Work

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• Pragmatic insurance option pricing

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