An exponential martingale for compound Poisson process with latent variable and its applications

DOI10.1007/S11766-015-3073-5zbMath1340.60063MaRDI QIDQ904135

Jun Yan

Publication date: 15 January 2016

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

zbMATH Keywords

ruin probabilityrisk measureexponential martingalepartly shifted risk process

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Cites Work

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• ENTROPIC RISK MEASURES: COHERENCE VS. CONVEXITY, MODEL AMBIGUITY AND ROBUST LARGE DEVIATIONS
• Lévy Processes and Stochastic Calculus
• Stochastic finance. An introduction in discrete time

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