Related papers: Fractional Risk Process in Insurance
Consider a surplus process which both of collected premium and payed claim size are two independent compound Poisson processes. This article derives two approximated formulas for the ruin probability of such surplus process, say double…
In this paper the utility optimization problem for a general insurance model is studied. The reserve process of the insurance company is described by a stochastic differential equation driven by a Brownian motion and a Poisson random…
In this paper, we consider a fractional Poisson random field (FPRF) on positive plane. It is defined as a process whose one dimensional distribution is the solution of a system of fractional partial differential equations. A time-changed…
This paper concerns an insurance firm's surplus process observed at renewal inspection times, with a focus on assessing the probability of the surplus level dropping below zero. For various types of inter-inspection time distributions, an…
We generate the fractional Poisson process by subordinating the standard Poisson process to the inverse stable subordinator. Our analysis is based on application of the Laplace transform with respect to both arguments of the evolving…
In many complex systems studied in statistical physics, inter-arrival times between events such as solar flares, trades and neuron voltages follow a heavy-tailed distribution. The set of event times is fractal-like, being dense in some time…
Multivariate Poisson processes have many important applications in Insurance, Finance, and many other areas of Applied Probability. In this paper we study the backward simulation approach to modelling multivariate Poisson processes and…
Random shifting typically appears in credibility models whereas random scaling is often encountered in stochastic models for claim sizes reflecting the time-value property of money. In this article we discuss some aspects of random shifting…
The fractional Poisson process (FPP) generalizes the standard Poisson process by replacing exponentially distributed return times with Mittag-Leffler distributed ones with an extra tail parameter, allowing for greater flexibility. The FPP…
It has been decades since the academic world of ruin theory defined the insolvency of an insurance company as the time when its surplus falls below zero. This simplification, however, needs careful adaptions to imitate the real-world…
Random fields are useful mathematical tools for representing natural phenomena with complex dependence structures in space and/or time. In particular, the Gaussian random field is commonly used due to its attractive properties and…
This paper considers a variant of the classical Cram\'er-Lundberg model that is particularly appropriate in the credit context, with the distinguishing feature that it corresponds to a finite number of obligors. The focus is on computing…
In this text, we establish the risk model based on AR(1) series and propose the basic model which has a dependent structure under intensity of claim number. Considering some properties of the risk model, we take advantage of newton…
In a dual risk model, the premiums are considered as the costs and the claims are regarded as the profits. The surplus can be interpreted as the wealth of a venture capital, whose profits depend on research and development. In most of the…
We consider a generalization of the classical risk model when the premium intensity depends on the current surplus of an insurance company. All surplus is invested in the risky asset, the price of which follows a geometric Brownian motion.…
We study different fractional extensions of the Poisson process and generalized counting processes by introducing time-change represented by the inverse to the sums of stable and tempered stable subordinators. We state the governing…
We present new properties for the Fractional Poisson process and the Fractional Poisson field on the plane. A martingale characterization for Fractional Poisson processes is given. We extend this result to Fractional Poisson fields,…
Epidemic models are used to analyze the progression or outcome of an epidemic under different control policies like vaccinations, quarantines, lockdowns, use of face-masks, pharmaceutical interventions, etc. When these models accurately…
The fractional Poisson process has recently attracted experts from several fields of study. Its natural generalization of the ordinary Poisson process made the model more appealing for real-world applications. In this paper, we generalized…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…