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

作　　者：YAN Jun 

机构地区：[1]School of Mathematical Sciences, Yangzhou University

出　　处：《Applied Mathematics(A Journal of Chinese Universities)》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)

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.

关 键 词：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]