An application of fractional differential equations to risk theory (Q2274229)
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scientific article
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| English | 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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0.7619820833206177
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0.7419628500938416
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0.7381368279457092
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0.7367546558380127
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0.7356468439102173
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