An application of fractional differential equations to risk theory
From MaRDI portal
(Redirected from Publication:2274229)
Abstract: This paper defines a new class of fractional differential operators alongside a family of random variables whose density functions solve fractional differential equations equipped with these operators. These equations can be further used to construct fractional integro-differential equations for the ruin probabilities in collective renewal risk models, with inter-arrival time distributions from the aforementioned family. Gamma-time risk models and fractional Poisson risk models are two specific cases among them, whose ruin probabilities have explicit solutions, when claim sizes distributions exhibit rational Laplace transforms.
Recommendations
- Risk process with mixture of tempered stable inverse subordinators: analysis and synthesis
- Fractional Poisson process: long-range dependence and applications in ruin theory
- An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
- Fractional stochastic differential equations: a semimartingale approach
- Finite-time ruin probabilities using bivariate Laguerre series
Cites work
- scientific article; zbMATH DE number 438987 (Why is no real title available?)
- scientific article; zbMATH DE number 3444581 (Why is no real title available?)
- scientific article; zbMATH DE number 3255204 (Why is no real title available?)
- A large deviation estimate for ruin probabilities
- An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
- An algebraic operator approach to the analysis of Gerber-Shiu functions
- An introduction to fractional calculus
- Eigenvalue problem for fractional differential operator containing left and right fractional derivatives
- Exact and asymptotic results for insurance risk models with surplus-dependent premiums
- Fractional Poisson process
- Fractional Poisson process: long-range dependence and applications in ruin theory
- Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
- Integro-differential polynomials and operators
- Large deviations for fractional Poisson processes
- Necessary and sufficient conditions for the fractional calculus of variations with Caputo derivatives
- On a Class of Renewal Risk Processes
- On ruin for the Erlang \((n)\) risk process
- On the Time Value of Ruin
- On the time to ruin for Erlang(2) risk processes.
- Ruin probabilities for Erlang (2) risk processes
- Ruin probabilities in classical risk models with gamma claims
- Solving and factoring boundary problems for linear ordinary differential equations in differential algebras
- Stochastic duality of Markov processes: A study via generators
- The generalized integer gamma distribution -- a basis for distributions in multivariate statistics
- The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
Cited in
(33)- Ulam-Hyers-Rassias stability for nonlinear \(\Psi\)-Hilfer stochastic fractional differential equation with uncertainty
- Existence and stability results of generalized fractional integrodifferential equations
- \(H^1\)-norm error analysis of a robust ADI method on graded mesh for three-dimensional subdiffusion problems
- Proprietà analitiche delle soluzioni di un'equazione intergrale della teoria collettiva del rischio
- Best approximations of the \(\varphi \)-Hadamard fractional Volterra integro-differential equation by matrix valued fuzzy control functions
- Existence and stability results for nonlocal boundary value problems of fractional order
- Approximating the solution of an integral equation arising in the theory of risk: A comment
- Implied fractional hazard rates and default risk distributions
- First passage times over stochastic boundaries for subdiffusive processes
- Hyers-Ulam-Rassias stability of a nonlinear stochastic fractional Volterra integro-differential equation
- \(\alpha\)-robust \(H^1\)-norm convergence analysis of ADI scheme for two-dimensional time-fractional diffusion equation
- Fractional risk process in insurance
- Analysis of heterogeneous endowment policies portfolios under fractional approximations.
- Matrix Mittag-Leffler distributions and modeling heavy-tailed risks
- Mixed fractional risk process
- Some results on mixed fractional integrodifferential equation in matrix MB-space
- Best approximation of a nonlinear fractional Volterra integro-differential equation in matrix MB-space
- Shifted ultraspherical pseudo-Galerkin method for approximating the solutions of some types of ordinary fractional problems
- Discrete comparison principle of a finite difference method for the multi-term time fractional diffusion equation
- On the fuzzy stability results for fractional stochastic Volterra integral equation
- Volterra integral equations: an approach based on Lipschitz-continuity
- Fractional Liu uncertain differential equation and its application to finance
- Multivariate claim processes with rough intensities: properties and estimation
- Fractional models for analysis of economic risks
- On a time-changed variant of the generalized counting process
- Solving random fractional second-order linear equations via the mean square Laplace transform: theory and statistical computing
- Solution processes for second-order linear fractional differential equations with random inhomogeneous parts
- Risk process with mixture of tempered stable inverse subordinators: analysis and synthesis
- Real-time reconstruction of external impact on fractional order system under measuring a part of coordinates
- A survey on random fractional differential equations involving the generalized Caputo fractional-order derivative
- PASSIVITY AND PASSIVATION OF FRACTIONAL-ORDER NONLINEAR SYSTEMS
- A new formula for investigating delay integro-differential equations using the differential transform method involving a quotient of two functions
- Pointwise-in-time \(\alpha\)-robust error estimate of the ADI difference scheme for three-dimensional fractional subdiffusion equations with variable coefficients
This page was built for publication: An application of fractional differential equations to risk theory
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2274229)
