Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times
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Publication:2407766
DOI10.1016/j.spl.2017.01.025zbMath1386.60097OpenAlexW2586446556MaRDI QIDQ2407766
Publication date: 6 October 2017
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2017.01.025
Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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Cites Work
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