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

Jun Yan

Statistics & Probability Letters, 2017, vol. 125, issue C, 71-79

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.

Keywords: Convex entropic risk measure; Coherent entropic risk measure; Compound Poisson process (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:125:y:2017:i:c:p:71-79

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DOI: 10.1016/j.spl.2017.01.025

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