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Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times

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  • Yan, Jun

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.

Suggested Citation

  • Yan, Jun, 2017. "Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 71-79.
    • Handle: RePEc:eee:stapro:v:125:y:2017:i:c:p:71-79
    DOI: 10.1016/j.spl.2017.01.025
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    References listed on IDEAS

    as
    1. Yan, Jun & Gao, Fuqing, 2013. "The minimal entropy martingale measure of a jump process influenced by jump times," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 83-88.
    2. Jang, Ji-Wook & Krvavych, Yuriy, 2004. "Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 97-111, August.
    3. Wang, Bin & Wang, Ruodu, 2015. "Extreme negative dependence and risk aggregation," Journal of Multivariate Analysis, Elsevier, vol. 136(C), pages 12-25.
    4. Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2015. "A risk model with renewal shot-noise Cox process," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 55-65.
    5. Dassios, Angelos & Jang, Jiwook, 2003. "Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity," LSE Research Online Documents on Economics 2849, London School of Economics and Political Science, LSE Library.
    6. Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2015. "A risk model with renewal shot-noise Cox process," LSE Research Online Documents on Economics 64051, London School of Economics and Political Science, LSE Library.
    7. Paul Embrechts & Bin Wang & Ruodu Wang, 2015. "Aggregation-robustness and model uncertainty of regulatory risk measures," Finance and Stochastics, Springer, vol. 19(4), pages 763-790, October.
    8. Schmidt, Thorsten & Stute, Winfried, 2007. "Shot-noise processes and the minimal martingale measure," Statistics & Probability Letters, Elsevier, vol. 77(12), pages 1332-1338, July.
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