Risk process with mixture of tempered stable inverse subordinators: analysis and synthesis (Q2692944)
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scientific article; zbMATH DE number 7664771
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| English | Risk process with mixture of tempered stable inverse subordinators: analysis and synthesis |
scientific article; zbMATH DE number 7664771 |
Statements
Risk process with mixture of tempered stable inverse subordinators: analysis and synthesis (English)
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17 March 2023
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The authors propose two fractional risk models where the classical risk process is time-changed by the mixture of tempered stable inverse subordinator. They derive the moments and the covariance structure of these risk processes and study the characteristics of these models such as the ruin probability and the time to ruin and illustrate the results through simulations. Derivation of the exact formulae for the ruin probability and the time to ruin for the fractional risk models proposed here is an open problem,
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risk process
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tempered stable inverse subordinator
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ruin probability
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time to ruin
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fractional risk model
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0.8006353378295898
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0.80058354139328
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0.789128303527832
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0.7850293517112732
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0.7624951601028442
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