Article Dans Une Revue Journal of Applied Probability Année : 2014

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

Résumé

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.

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hal-00831074 , version 1 (06-06-2013)

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  • HAL Id : hal-00831074 , version 1

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Romain Biard, Bruno Saussereau. Fractional Poisson process: long-range dependence and applications in ruin theory. Journal of Applied Probability, 2014, 51 (3), pp.1271 - 1272. ⟨hal-00831074⟩
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