Estimations and asymptotic behaviors of coherent entropic risk measure for sums of random variables

DOI10.1016/j.spl.2014.04.019zbMath1288.62124OpenAlexW1966415960MaRDI QIDQ2454011

Jun Yan

Publication date: 12 June 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.04.019

zbMATH Keywords

asymptotic behaviorcompound Poisson processconvex entropic risk measure

Mathematics Subject Classification ID

Cites Work

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• Sobolev inequalities for probability measures on the real line
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