Αλλαγή μέτρου για σύνθετες μεικτές ανανεωτικές διαδικασίες με εφαρμογές στις αρχές υπολογισμού ασφαλίστρου

Ηλιοπούλου, Χριστίνα - Στέλλα

Change of measure for compound mixed renewal processes with applications to premium calculation principles

Master Thesis

Author

Ηλιοπούλου, Χριστίνα - Στέλλα

Date

2018-07

Abstract

For a given compound renewal process S under a probability measure P, a characterization at all probability measures Q on the domain of P such that P and Q are progressively equivalent and S is a compound renewal process under Q is presented. As a consequence, it is proven that any compound renewal process can be converted into a compound Poisson one through a change of measure, and some applications to premium calculation principles are presented. A special instance of the above result is the main result of Delbaen & Haezendonck. A generalization of the above results is proven for compound mixed renewal processes, extending in this way the main result of Lyberopoulos D.P.

Postgraduate Studies Programme

Αναλογιστική Επιστήμη και Διοικητική Κινδύνου

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

Number of pages

131

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/11342

Collections

Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

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