Fractional risk process in insurance

DOI10.1007/S11579-019-00244-YzbMath1435.91156arXiv1808.07950OpenAlexW2963293047WikidataQ127650393 ScholiaQ127650393MaRDI QIDQ2299384

Alois Pichler, Arun Kumar, Nikolai N. Leonenko

Publication date: 21 February 2020

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.07950

zbMATH Keywords

risk processruin probabilitylong range dependencerenewal processconvex risk measuresfractional Poisson process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Renewal theory (60K05) Actuarial mathematics (91G05)

Related Items (9)

Fractional non-homogeneous Poisson and Pólya-Aeppli processes of order k and beyond ⋮ Risk process with mixture of tempered stable inverse subordinators: analysis and synthesis ⋮ Fractional models for analysis of economic risks ⋮ On a time-changed variant of the generalized counting process ⋮ A fractional multi-states model for insurance ⋮ Time-changed Poisson processes of order k ⋮ On the long-range dependence of mixed fractional Poisson process ⋮ Mixed fractional risk process ⋮ Large deviations for a class of tempered subordinators and their inverse processes

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