7 citations · 8 across the 7 of their papers we have counts for
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A characterization of ruin-inducing probability measures in a renewal risk model
Spyridon M. Tzaninis, Apostolos Bozikas
In this work, we derive a complete characterization of all ruin-inducing probability measures that preserve the structure of a given compound renewal process in terms of suitable p…
Extensions of Panjer's recursion for mixed compound distributions
Spyridon M. Tzaninis, Apostolos Bozikas
In actuarial practice, the usual independence assumptions for the collective risk model are often violated, implying a growing need for considering more general models that incorpo…
Applications of a change of measures technique for compound mixed renewal processes to the ruin problem
Spyridon M. Tzaninis
In the present paper the change of measures technique for compound mixed renewal processes, developed in Tzaninis & Macheras [24], is applied to the ruin problem in order to comput…
A characterization of progressively equivalent probability measures preserving the structure of a compound mixed renewal process
Spyridon M. Tzaninis, Nikolaos D. Macheras
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 th…
A characterization of equivalent martingale probability measures in a mixed renewal risk model with applications in Risk Theory
Spyridon M. Tzaninis, Nikolaos D. Macheras
If a given aggregate process is a compound mixed renewal process under a probability measure , we provide a characterization of all probability measures on the domain of…
A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles
Nikolaos D. Macheras, Spyridon M. Tzaninis
Generalizing earlier work of Delbaen and Haezendonck for given compound renewal process under a probability measure we characterize all probability measures on the doma…
On the equivalence of various definitions of mixed Poisson processes
D. P. Lyberopoulos, N. D. Macheras, S. M. Tzaninis
Under mild assumptions the equivalence of the mixed Poisson process with mixing parameter a real-valued random variable to the one with mixing distribution as well as to the mixed…
Some characterizations for Markov processes as mixed renewal processes
N. D. Macheras, S. M. Tzaninis
In this paper the class of mixed renewal processes (MRPs for short) with mixing parameter a random vector from \cite{lm6z3} (enlarging Huang's \cite{hu} original class) is replaced…