论文标题
逐渐等效概率测量的表征保留了化合物混合续订过程的结构
A characterization of progressively equivalent probability measures preserving the structure of a compound mixed renewal process
论文作者
论文摘要
将Delbaen＆Haezendonck [5]以及[18]和[16]的早期作品推广为在概率度量P下的给定复合混合更新过程S，我们表征了P和P的所有这些概率测量Q，以便Q和P逐渐等效地，S在Q中逐渐具有相等的混合型物质，具有改善的化合物。因此，我们证明，任何复合混合更新过程都可以通过更改度量转换为复合混合泊松过程。在[26]和[27]中分别讨论了与毁灭性问题和保险市场中没有套利机会的高级计算原则计算有关的申请。
Generalizing earlier works of Delbaen & Haezendonck [5] as well as of [18] and [16] for given compound mixed renewal process S under a probability measure P, we characterize all those probability measures Q on the domain of P such that Q and P are progressively equivalent and S remains a compound mixed renewal process under Q with improved properties. As a consequence, we prove that any compound mixed renewal process can be converted into a compound mixed Poisson process through a change of measures. Applications related to the ruin problem and to the computation of premium calculation principles in an insurance market without arbitrage opportunities are discussed in [26] and [27], respectively.
