A change of measures technique for compound mixed renewal processes with applications in Risk Theory

Given a compound mixed renewal process S under a probability measure P, we provide a characterization of all progressively equivalent martingale probability measures Q on the domain of P, that convert S into a compound mixed Poisson process. This result extends earlier works of Delbaen and Haezendonck, Lyberopoulos and Macheras, and the authors, and enables us to find a wide class of price processes satisfying the condition of no free lunch with vanishing risk. Implications to the ruin problem and to the computation of premium calculation principles in an arbitrage-free insurance market are also discussed.