Exponential martingale and large deviations for a Cox risk process with Poisson shot noise intensity

DOI10.1016/J.JMAA.2012.04.052MaRDI QIDQ439235zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

large deviationsCox processPoisson shot noiseexponential martingale

Mathematics Subject Classification ID

Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Martingales with continuous parameter (60G44)

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Cites work

• scientific article; zbMATH DE number 3114766 (Why is no real title available?)
• scientific article; zbMATH DE number 481040 (Why is no real title available?)
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
• Functional Large Deviations and Moderate Deviations for Markov-Modulated Risk Models with Reinsurance
• Large and moderate deviations for estimators of quadratic variational processes of diffusions.
• Large deviations for risk processes with reinsurance
• Precise Large Deviations for the Actual Aggregate Loss Process
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• Risk processes with shot noise Cox claim number process and reserve dependent premium rate
• Ruin probabilities and aggregrate claims distributions for shot noise Cox processes

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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