Fractional Poisson Process: Long-Range Dependence and Applications in Ruin Theory
نویسندگان
چکیده
منابع مشابه
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 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. AMS 2000 subject classifications: Primary 60G22, 60G55, 91B30; ...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2014
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1409932670