| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5129810 | Statistics & Probability Letters | 2017 | 9 Pages |
Abstract
In this article, we study several deviations and asymptotic behavior of convex and coherent entropic risk measures for the compound Poisson process influenced by jump times. The parameters of the risk measures under consideration are assumed to depend on time t.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Jun Yan,