A CHARACTERIZATION OF MARTINGALE-EQUIVALENT MIXED COMPOUND POISSON PROCESSES
成果类型：
Article
署名作者：
Lyberopoulos, Demetrios P.; Macheras, Nikolaos D.
署名单位：
University of Piraeus
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/20-AAP1604
发表日期：
2021
页码：
778-805
关键词：
摘要：
If a given aggregate process S is a mixed compound Poisson process under a probability measure P, we provide a characterization of all probability measures Q on the domain of P, such that P and Q are progressively equivalent and S remains a mixed compound Poisson process with improved properties. This result generalizes earlier work of Delbaen and Haezendonck (Insurance Math. Econom. 8 (1989) 269-277). Implications related to the computation of premium calculation principles in an insurance market possessing the property of no free lunch with vanishing risk are also discussed.
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