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...
Na minha lista:
| Principais autores: | , |
|---|---|
| Format: | Artigo |
| Sprog: | Inglês |
| Udgivet: |
VTeX
2020-02-01
|
| Serier: | Modern Stochastics: Theory and Applications |
| Fag: | |
| Online adgang: | https://www.vmsta.org/doi/10.15559/20-VMSTA148 |
| Tags: |
Ingen Tags, Vær først til at tagge denne postø!
|