An application of fractional differential equations to risk theory (Q2274229): Difference between revisions

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Latest revision as of 18:38, 17 December 2024

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An application of fractional differential equations to risk theory
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    An application of fractional differential equations to risk theory (English)
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    19 September 2019
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    The paper derives explicit ruin probabilities in risk models when claim size distributions exhibit rational Laplace transforms, and with inter-arrival time densities solving fractional differential equations. Gamma-time risk models and fractional Poisson risk models are among them. All the results are obtained due to the introduction of a new class of fractional differential operators.
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    ruin probability
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    fractional differential operator
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    collective risk model
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