Fractional Poisson Process: Long-Range Dependence and Applications in Ruin Theory

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

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Veröffentlicht in:	Journal of applied probability 2014-09, Vol.51 (3), p.727-740
Hauptverfasser:	Biard, Romain, Saussereau, Bruno
Format:	Artikel
Sprache:	eng
Schlagworte:	33E12 60G22 60G55 60K05 91B30 Differential equations Earthquake insurance Electrons Fractals Fractional Poisson process Insurance Insurance claims Insurance companies Laplace transformation long-range dependence Mathematical functions Mathematics Poisson distribution Poisson process Random variables renewal process Renewals Risk Risk management ruin probability Studies
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