Fractional risk process in insurance (Q2299384)

The authors of the paper consider the fractional risk process. The main equation of such process \(R_\alpha\) has the following form \[ R_\alpha(t)=u+\mu\lambda(1+\varrho)Y_\alpha(t)-\sum_{i=1}^{N_\alpha(t)}X_i,\ t\geqslant 0, \ \alpha\in(0,1). \] Here parameter \(\alpha\in(0,1)\), \(u>0\) is the initial capital, \(\lambda\) is the Poisson parameter, \(\varrho\geqslant 0\) is the safety loading coefficient. Random nonnegative claims \(X_1,X_2,\ldots \) are independent and identically distributed with mean \(\mu\). Symbol \(N_\alpha(t)\) denotes the fractional Poisson process, i.e. the renewal process with Mittag-Leffler waiting times: \[ N_\alpha(t)=\max\{n:T_1+T_2+\ldots+T_n\leqslant t\}. \] Mittag-Leffler waiting times \(T_1,T_2,\ldots \) are independent and identically distributed random variables with distribution function \[ \mathbb{P}(T_j\leqslant x)=1-E_\alpha(-\lambda x^\alpha), \] where \[ E_\alpha(z)=\sum_{k=0}^\infty\frac{z^k}{\Gamma(\alpha k+1)},\ z\in\mathbb{C}. \] The premium stream is related with the inverse stable subordinator \[ Y_\alpha(t)=\inf\{u\geqslant 0: L_\alpha(u)>t\}, \] where \(L_\alpha\) is the \(\alpha\)-stable subordinator with Laplace exponent \(s^\alpha\). In the paper, all elements of the fractional risk process are described together with its main properties. The \textit{net profit condition} for the model is established. The long range dependence property of the process \(R_\alpha\) is derived together with some assertions related to the ruin probability of the model.