3 papers
math.PR2026
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…
math.PR2024
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…
math.PR2024
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…