Fractional Poisson process: long-range dependence and applications in ruin theory - Correction

Fractional Poisson process: long-range dependence and applications in ruin theory - Correction

We study a renewal risk model in which the surplus process of the insurance company is modeled by a compound fractional Poisson process. We establish the long-range dependence property of this non-stationary process. Some results for the ruin probabilities are presented in various assumptions on the...

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Veröffentlicht in:Journal of applied probability 2016-12, Vol.53 (4), p.1271-1272
Hauptverfasser: Biard, R., Saussereau, B.
Format: Artikel
Sprache:eng
Schlagworte:
Mathematics
Probability
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Beschreibung
Zusammenfassung:We study a renewal risk model in which the surplus process of the insurance company is modeled by a compound fractional Poisson process. We establish the long-range dependence property of this non-stationary process. Some results for the ruin probabilities are presented in various assumptions on the distribution of the claim sizes.
ISSN:0021-9002
1475-6072
DOI:10.1017/jpr.2016.80