scholarly journals A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles

2020 ◽  
pp. 43-60
Author(s):  
Nikolaos D. Macheras ◽  
Spyridon M. Tzaninis
Keyword(s):  
Risk Model ◽  
Martingale Measures ◽  
Renewal Risk Model ◽  
Equivalent Martingale Measures ◽  
Premium Calculation ◽  
Equivalent Martingale ◽  
Renewal Risk

scholarly journals Option Pricing Driven by a Telegraph Process with Random Jumps

2012 ◽  
Vol 49 (3) ◽  
pp. 838-849 ◽  
Author(s):  
Oscar López ◽  
Nikita Ratanov
Keyword(s):  
Option Pricing ◽  
Financial Market ◽  
Option Prices ◽  
Martingale Measures ◽  
Market Models ◽  
Telegraph Process ◽  
Equivalent Martingale Measures ◽  
Hedging Strategies ◽  
Random Jumps ◽  
Equivalent Martingale

In this paper we propose a class of financial market models which are based on telegraph processes with alternating tendencies and jumps. It is assumed that the jumps have random sizes and that they occur when the tendencies are switching. These models are typically incomplete, but the set of equivalent martingale measures can be described in detail. We provide additional suggestions which permit arbitrage-free option prices as well as hedging strategies to be obtained.

Asymptotic ruin probabilities for a bidimensional renewal risk model

Stochastics ◽  
2017 ◽  
Vol 89 (5) ◽  
pp. 687-708 ◽  
Author(s):  
Haizhong Yang ◽  
Jinzhu Li
Keyword(s):  
Risk Model ◽  
Ruin Probabilities ◽  
Renewal Risk Model ◽  
Renewal Risk

scholarly journals The probabilities of absolute ruin in the renewal risk model with constant force of interest

2010 ◽  
Vol 47 (2) ◽  
pp. 323-334 ◽  
Author(s):  
Dimitrios G. Konstantinides ◽  
Kai W. Ng ◽  
Qihe Tang
Keyword(s):  
Risk Model ◽  
Asymptotic Expression ◽  
Poisson Model ◽  
Weighted Sums ◽  
Constant Force ◽  
Infinite Time ◽  
Renewal Risk Model ◽  
Absolute Ruin ◽  
Force Of Interest ◽  
Renewal Risk

In this paper we consider the probabilities of finite- and infinite-time absolute ruins in the renewal risk model with constant premium rate and constant force of interest. In the particular case of the compound Poisson model, explicit asymptotic expressions for the finite- and infinite-time absolute ruin probabilities are given. For the general renewal risk model, we present an asymptotic expression for the infinite-time absolute ruin probability. Conditional distributions of Poisson processes and probabilistic techniques regarding randomly weighted sums are employed in the course of this study.

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