Large deviations for fractional Poisson processes
Probability
2016-11-26 v2
Abstract
We prove large deviation principles for two versions of fractional Poisson processes. Firstly we consider the main version which is a renewal process; we also present large deviation estimates for the ruin probabilities of an insurance model with constant premium rate, i.i.d. light tail claim sizes, and a fractional Poisson claim number process. We conclude with the alternative version where all the random variables are weighted Poisson distributed. Keywords: Mittag Leffler function; renewal process; random time cha
Cite
@article{arxiv.1204.1446,
title = {Large deviations for fractional Poisson processes},
author = {Luisa Beghin and Claudio Macci},
journal= {arXiv preprint arXiv:1204.1446},
year = {2016}
}