An application of fractional differential equations to risk theory

Research output: Contribution to journalArticlepeer-review

51 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)1001-1024
Number of pages24
JournalFinance and Stochastics
Volume23
Issue number4
DOIs
StatePublished - Oct 1 2019
Externally publishedYes

Keywords

  • Collective risk model
  • Fractional differential operator
  • Ruin probability

Fingerprint

Dive into the research topics of 'An application of fractional differential equations to risk theory'. Together they form a unique fingerprint.

Cite this