Exponential martingale and large deviations for a Cox risk process with Poisson shot noise intensity
DOI10.1016/J.JMAA.2012.04.052zbMATH Open1263.91028OpenAlexW2030428956MaRDI QIDQ439235FDOQ439235
Authors: Fuqing Gao, Jun Yan 
Publication date: 1 August 2012
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2012.04.052
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Cites Work
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- Precise Large Deviations for the Actual Aggregate Loss Process
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- Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
- Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
- Risk processes with shot noise Cox claim number process and reserve dependent premium rate
- Functional Large Deviations and Moderate Deviations for Markov-Modulated Risk Models with Reinsurance
- Large deviations for risk processes with reinsurance
- Large and moderate deviations for estimators of quadratic variational processes of diffusions.
- A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
Cited In (5)
- Sample path large deviations for the multiplicative Poisson shot noise process with compensation
- Precise deviations for Cox processes with a shot noise intensity
- Explosive Poisson shot noise processes with applications to risk reserves
- Limit theorems for non-Markovian marked dynamic contagion processes
- An exponential martingale for compound Poisson process with latent variable and its applications
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