Title of article
Exponential martingale and large deviations for a Cox risk process with Poisson shot noise intensity
Author/Authors
Yan، نويسنده , , Jun and Gao، نويسنده , , Fuqing، نويسنده ,
Issue Information
دوهفته نامه با شماره پیاپی سال 2012
Pages
10
From page
74
To page
83
Abstract
We introduce an exponential martingale for a Cox risk process with Poisson shot noise intensity. As applications of the exponential martingale, we obtain the sample path large and moderate deviation principles. Finally, we give an estimate of ruin probability.
Keywords
Large deviations , Poisson shot noise , Exponential martingale , Cox process
Journal title
Journal of Mathematical Analysis and Applications
Serial Year
2012
Journal title
Journal of Mathematical Analysis and Applications
Record number
1562898
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