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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2020
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2007.09051 |
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Table of Contents:
- 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.