Fractional risk process in insurance

DOI10.1007/s11579-019-00244-yzbMath1435.91156arXiv1808.07950OpenAlexW2963293047WikidataQ127650393 ScholiaQ127650393MaRDI QIDQ2299384

Alois Pichler, Arun Kumar, Nikolai N. Leonenko

Publication date: 21 February 2020

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.07950

zbMATH Keywords

risk processruin probabilitylong range dependencerenewal processconvex risk measuresfractional Poisson process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Renewal theory (60K05) Actuarial mathematics (91G05)

Related Items (7)

Fractional non-homogeneous Poisson and Pólya-Aeppli processes of order k and beyond ⋮ Risk process with mixture of tempered stable inverse subordinators: analysis and synthesis ⋮ A fractional multi-states model for insurance ⋮ Time-changed Poisson processes of order k ⋮ On the long-range dependence of mixed fractional Poisson process ⋮ Mixed fractional risk process ⋮ Large deviations for a class of tempered subordinators and their inverse processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The fractional non-homogeneous Poisson process
• The fractional Poisson process and the inverse stable subordinator
• Mittag-Leffler functions and their applications
• Numerical computation of first-passage times of increasing Lévy processes
• Poisson-type processes governed by fractional and higher-order recursive differential equations
• A fractional generalization of the Poisson processes
• Inverse tempered stable subordinators
• Non-life insurance mathematics. An introduction with the Poisson process
• Using differential equations to obtain joint moments of first-passage times of increasing Lévy processes
• Fractional Poisson processes and related planar random motions
• Aspects of risk theory
• The Hurst index of long-range dependent renewal processes
• An analytical study of norms and Banach spaces induced by the entropic value-at-risk
• On densities of the product, quotient and power of independent subordinators
• Fractional Poisson fields and martingales
• Waiting-times and returns in high-frequency financial data: An empirical study
• Coherent Measures of Risk
• Fractional Skellam processes with applications to finance
• Anomalous waiting times in high-frequency financial data
• Financial Modelling with Jump Processes
• Limit theorems for the fractional nonhomogeneous Poisson process
• Limit theorems for occupation times of Markov processes
• Stochastic models for fractional calculus

This page was built for publication: Fractional risk process in insurance