Abstract
We study a renewal risk model in which the surplus process of the insurance company is modelled by a compound fractional Poisson process. We establish the long-range dependence property of this nonstationary process. Some results for ruin probabilities are presented under various assumptions on the distribution of the claim sizes.
Citation
Romain Biard. Bruno Saussereau. "Fractional Poisson process: long-range dependence and applications in ruin theory." J. Appl. Probab. 51 (3) 727 - 740, September 2014. https://doi.org/10.1239/jap/1409932670
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