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...
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| المؤلفون الرئيسيون: | , |
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| التنسيق: | Artigo |
| اللغة: | Inglês |
| منشور في: |
VTeX
2020-02-01
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| سلاسل: | Modern Stochastics: Theory and Applications |
| الموضوعات: | |
| الوصول للمادة أونلاين: | https://www.vmsta.org/doi/10.15559/20-VMSTA148 |
| الوسوم: |
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