Deviations of convex and coherent entropic risk measures

DOI10.1016/j.spl.2015.01.035zbMath1337.60046MaRDI QIDQ2348318

Jun Yan

Publication date: 11 June 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.01.035

zbMATH Keywords

relative entropy; coherent entropic risk measure; convex entropic risk measure

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

60F99: Limit theorems in probability theory