论文标题
在混合更新风险模型中与风险理论应用的混合更新风险模型中等效的Martingale概率度量的表征
A characterization of equivalent martingale probability measures in a mixed renewal risk model with applications in Risk Theory
论文作者
论文摘要
如果给定的总体过程$ s $是概率度量$ p $下的复合混合续订过程，我们提供了$ p $ $ p $ $ q $和$ q $和$ p $的所有概率度量$ q $的表征，逐渐相等，并且$ s $转换为$ q $下的复合泊松过程。该结果扩展了Delbaen＆Haezendonck [2]，Embrechts＆Meister [5]，Lyberopoulos＆Macheras [11]和作者[14]的早期作品。还讨论了对没有免费午餐和消失风险的保险市场中的保费原则的计算的影响。
If a given aggregate process $S$ is a compound mixed renewal process under a probability measure $P$, we provide a characterization of all probability measures $Q$ on the domain of $P$ such that $Q$ and $P$ are progressively equivalent and $S$ is converted into a compound mixed Poisson process under $Q$. This result extends earlier works of Delbaen & Haezendonck [2], Embrechts & Meister [5], Lyberopoulos & Macheras [11], and of the authors [14]. Implications to the ruin problem and to the computation of premium calculation principles in an insurance market possessing the property of no free lunch with vanishing risk are also discussed.
