An application of fractional differential equations to risk theory (Q2274229)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: An application of fractional differential equations to risk theory |
scientific article; zbMATH DE number 7107423
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | An application of fractional differential equations to risk theory |
scientific article; zbMATH DE number 7107423 |
Statements
An application of fractional differential equations to risk theory (English)
0 references
19 September 2019
0 references
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.
0 references
ruin probability
0 references
fractional differential operator
0 references
collective risk model
0 references
0 references
0 references
0 references
0 references
0.7619820833206177
0 references
0.7419628500938416
0 references
0.7381368279457092
0 references
0.7367546558380127
0 references
0.7356468439102173
0 references
