TY - JOUR
T1 - An application of fractional differential equations to risk theory
AU - Constantinescu, Corina D.
AU - Ramirez, Jorge M.
AU - Zhu, Wei R.
N1 - Publisher Copyright:
© 2019, The Author(s).
PY - 2019/10/1
Y1 - 2019/10/1
N2 - This paper defines a new class of fractional differential operators alongside a family of random variables whose density functions solve fractional differential equations equipped with these operators. These equations can be further used to construct fractional integro-differential equations for the ruin probabilities in collective renewal risk models, with inter-arrival time distributions from the aforementioned family. Gamma-time risk models and fractional Poisson risk models are two specific cases among them, whose ruin probabilities have explicit solutions when claim size distributions exhibit rational Laplace transforms.
AB - This paper defines a new class of fractional differential operators alongside a family of random variables whose density functions solve fractional differential equations equipped with these operators. These equations can be further used to construct fractional integro-differential equations for the ruin probabilities in collective renewal risk models, with inter-arrival time distributions from the aforementioned family. Gamma-time risk models and fractional Poisson risk models are two specific cases among them, whose ruin probabilities have explicit solutions when claim size distributions exhibit rational Laplace transforms.
KW - Collective risk model
KW - Fractional differential operator
KW - Ruin probability
UR - https://www.scopus.com/pages/publications/85069647474
U2 - 10.1007/s00780-019-00400-8
DO - 10.1007/s00780-019-00400-8
M3 - Article
AN - SCOPUS:85069647474
SN - 0949-2984
VL - 23
SP - 1001
EP - 1024
JO - Finance and Stochastics
JF - Finance and Stochastics
IS - 4
ER -