Exponential bounds of ruin probabilities for non-homogeneous risk models

DOI10.37190/0208-4147.00010zbMATH Open1498.60071arXiv2009.02105OpenAlexW4292882525WikidataQ115484619 ScholiaQ115484619MaRDI QIDQ5043614FDOQ5043614

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Publication date: 6 October 2022

Published in: Probability and Mathematical Statistics (Search for Journal in Brave)

Abstract: For the class of free-infinitely divisible transforms are introduced three families of increasing Urbanik type subclasses of those transforms. They begin with the class of free-normal transforms and end up with the whole class of free-infinitely divisible transforms. Those subclasses are derived from the ones of classical infinitely divisible measures for which are known their random integral representations. Special functions like Hurwitz-Lerch, polygamma and hypergeometric appeared in kernels of the corresponding integral representations.

Full work available at URL: https://arxiv.org/abs/2009.02105

zbMATH Keywords

characteristic functionhypergeometric functioninfinite divisibilitypolygamma functionselfdecomposabilityfree-infinite divisibilityNevanlinna-Pick functionsLévy-Khinchin formulas-selfdecomposability

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) Classical hypergeometric functions, ({}_2F_1) (33C05) Stochastic integrals (60H05) Gamma, beta and polygamma functions (33B15)

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