Exponential martingale and large deviations for a Cox risk process with Poisson shot noise intensity

DOI10.1016/j.jmaa.2012.04.052zbMath1263.91028OpenAlexW2030428956MaRDI QIDQ439235

Jun Yan, Fu Qing Gao

Publication date: 1 August 2012

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2012.04.052

zbMATH Keywords

large deviationsCox processPoisson shot noiseexponential martingale

Mathematics Subject Classification ID

Related Items (3)

Precise deviations for Cox processes with a shot noise intensity ⋮ Sample path large deviations for the multiplicative Poisson shot noise process with compensation ⋮ Limit theorems for non-Markovian marked dynamic contagion processes

Cites Work

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• A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• Risk processes with shot noise Cox claim number process and reserve dependent premium rate
• Precise Large Deviations for the Actual Aggregate Loss Process
• Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
• Functional Large Deviations and Moderate Deviations for Markov-Modulated Risk Models with Reinsurance
• Large deviations for risk processes with reinsurance
• Large and moderate deviations for estimators of quadratic variational processes of diffusions.

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