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Fractional Poisson process: long-range dependence and applications in ruin theory

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اقرأ أكثر حفظ في قائمتي
  • معلومة اضافية
    • Contributors:
      Laboratoire de Mathématiques de Besançon (UMR 6623) (LMB); Centre National de la Recherche Scientifique (CNRS)-Université de Franche-Comté (UFC); Université Bourgogne Franche-Comté COMUE (UBFC)-Université Bourgogne Franche-Comté COMUE (UBFC)
    • بيانات النشر:
      HAL CCSD
      Cambridge University press
    • الموضوع:
      2014
    • Collection:
      Université de Franche-Comté (UFC): HAL
    • نبذة مختصرة :
      International audience ; We study a renewal risk model in which the surplus process of the insurance company is modeled by a compound fractional Poisson process. We establish the long-range dependence property of this non-stationary process. Some results for the ruin probabilities are presented in various assumptions on the distribution of the claim sizes.
    • Relation:
      hal-00831074; https://hal.science/hal-00831074; https://hal.science/hal-00831074/document; https://hal.science/hal-00831074/file/biard-saussereau_1_.pdf
    • الدخول الالكتروني :
      https://hal.science/hal-00831074
      https://hal.science/hal-00831074/document
      https://hal.science/hal-00831074/file/biard-saussereau_1_.pdf
    • Rights:
      info:eu-repo/semantics/OpenAccess
    • الرقم المعرف:
      edsbas.9EFB85F7