An application of fractional differential equations to risk theory
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Publication:2274229
DOI10.1007/S00780-019-00400-8zbMATH Open1432.91097arXiv1905.10398OpenAlexW2959464963MaRDI QIDQ2274229FDOQ2274229
Authors: Corina Constantinescu, J. M. Ramirez, Wei R. Zhu 
Publication date: 19 September 2019
Published in: Finance and Stochastics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1905.10398
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