Mixed fractional risk process
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Abstract: In this paper, we introduce a risk process, namely, the mixed fractional risk process (MFRP) in which the number of claims in the associated claim process are modelled using the mixed fractional Poisson process (MFPP). The covariance structure of the MFRP is studied and its long-range dependence property has been established. Also, we show that the increments of MFRP exhibit the short-range dependence property. Another fractional risk process based on the MFPP is introduced which we call as the MFRP-II. It differs from the MFRP in terms of premium. Its ruin probabilities in the case of exponential and subexponential distributions of claim sizes are obtained.
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Cites work
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Cited in
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- Skellam and time-changed variants of the generalized fractional counting process
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- On the long-range dependence of mixed fractional Poisson process
- Generalized fractional risk process
- On a time-changed variant of the generalized counting process
- Risk process with mixture of tempered stable inverse subordinators: analysis and synthesis
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