Exponential martingale for compound Poisson process with latent variable and its applications

Exponential martingale for compound Poisson process with latent variable and its applications

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摘要 In this article, we construct an exponential martingale for the compound Poisson process with latent variable. With the help of this exponential martingale, we provide an asymptotic behavior of the coherent entropic risk measure for the compound Poisson process and a deviation inequality for the ruin probability of the partly shifted risk process. In this article, we construct an exponential martingale for the compound Poisson process with latent variable. With the help of this exponential martingale, we provide an asymptotic behavior of the coherent entropic risk measure for the compound Poisson process and a deviation inequality for the ruin probability of the partly shifted risk process.

作者 YAN Jun

机构地区 School of Mathematical Sciences

出处《Applied Mathematics(A Journal of Chinese Universities)》 SCIE CSCD 2015年第2期210-216,共7页 高校应用数学学报（英文版）（B辑）

基金 Supported by National Natural Science Foundation of China(11301461) Natural Science Foundation of Jiangsu Province(BK20130435) University Natural Science Foundation of Jiangsu Province(13KJB110031)

关键词 Exponential martingale partly shifted risk process ruin probability risk measure Exponential martingale, partly shifted risk process, ruin probability, risk measure

分类号 O211.5 [理学—概率论与数理统计]

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Applied Mathematics(A Journal of Chinese Universities)

2015年第2期

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Exponential martingale for compound Poisson process with latent variable and its applications

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