A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles
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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
VTeX
2020-02-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://www.vmsta.org/doi/10.15559/20-VMSTA148 |