Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6419073 | Journal of Mathematical Analysis and Applications | 2012 | 10 Pages |
Abstract
We introduce an exponential martingale for a Cox risk process with Poisson shot noise intensity. As applications of the exponential martingale, we obtain the sample path large and moderate deviation principles. Finally, we give an estimate of ruin probability.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Jun Yan, Fuqing Gao,