部分转移风险过程的中偏差

严钧

数学学报 ›› 2014, Vol. 57 ›› Issue (4) : 675-680.

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数学学报 ›› 2014, Vol. 57 ›› Issue (4) : 675-680. DOI: 10.12386/A2014sxxb0062
论文

部分转移风险过程的中偏差

    严钧
作者信息 +

Moderate Deviation Principle of Partly Shifted Risk Process

    Jun YAN
Author information +
文章历史 +

摘要

通过构造鞅的方法来考虑部分转移风险过程的中偏差原理,给出一个数值模拟来支持我们的结果.

Abstract

We study the moderate deviation principle for the partly shifted risk process by constructing a martingale. A numerical simulation is shown to support our result.

关键词

部分转移风险过程 / 中偏差 / 指数鞅

Key words

partly shifted risk process / moderate deviation / exponential martingale

引用本文

导出引用
严钧. 部分转移风险过程的中偏差. 数学学报, 2014, 57(4): 675-680 https://doi.org/10.12386/A2014sxxb0062
Jun YAN. Moderate Deviation Principle of Partly Shifted Risk Process. Acta Mathematica Sinica, Chinese Series, 2014, 57(4): 675-680 https://doi.org/10.12386/A2014sxxb0062

参考文献

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[13] Yan J. A., Measure Theory Lecture (in Chinese), Science Press, Beijing, 2004.

基金

国家自然科学青年基金(11301461);江苏省自然科学基金(BK20130435);江苏省高校自然科学基金(13KJB110031);扬州大学创新培育基金(2012CXJ003)

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