Add to ORKGInternational audienceWe study a renewal risk model in which the surplus process of the insurance company is modeled by a compound fractional Poisson process. We establish the long-range dependence property of this non-stationary process. Some results for the ruin probabilities are presented in various assumptions on the distribution of the claim sizes
The classical model of collective risk theory is extended in that a diffusion process is added to th...
In the actuarial literature, dependence structures in risk models have been extensively studied. The...
In this paper, we introduce and study fractional versions of the Bell–Touchard process, the Poisson-...
International audienceWe study a renewal risk model in which the surplus process of the insurance co...
International audienceWe study a renewal risk model in which the surplus process of the insurance co...
We prove large deviation principles for two versions of fractional Poisson processes: the main versi...
We discuss the short-range dependence (SRD) property of the increments of the fractional Poisson pro...
The Poisson process suitably models the time of successive events and thus has numerous applications...
Compound non-homogenous Poisson processes with periodic claim intensity rates are studied in this wo...
International audienceThis paper is concerned with the compound Poisson risk model and two generaliz...
A self-similar, continuous process with stationary increments is considered as an approximation to t...
In this article, we consider an extension to the renewal or Sparre Andersen risk process by introduc...
We consider an extension of the classical compound Poisson risk model, where the waiting time betwee...
In this paper, we consider a compound Poisson model with a constant interest force for an insurance ...
International audienceIn the compound Poisson risk model, several strong hypotheses may be found too...
The classical model of collective risk theory is extended in that a diffusion process is added to th...
In the actuarial literature, dependence structures in risk models have been extensively studied. The...
In this paper, we introduce and study fractional versions of the Bell–Touchard process, the Poisson-...
International audienceWe study a renewal risk model in which the surplus process of the insurance co...
International audienceWe study a renewal risk model in which the surplus process of the insurance co...
We prove large deviation principles for two versions of fractional Poisson processes: the main versi...
We discuss the short-range dependence (SRD) property of the increments of the fractional Poisson pro...
The Poisson process suitably models the time of successive events and thus has numerous applications...
Compound non-homogenous Poisson processes with periodic claim intensity rates are studied in this wo...
International audienceThis paper is concerned with the compound Poisson risk model and two generaliz...
A self-similar, continuous process with stationary increments is considered as an approximation to t...
In this article, we consider an extension to the renewal or Sparre Andersen risk process by introduc...
We consider an extension of the classical compound Poisson risk model, where the waiting time betwee...
In this paper, we consider a compound Poisson model with a constant interest force for an insurance ...
International audienceIn the compound Poisson risk model, several strong hypotheses may be found too...
The classical model of collective risk theory is extended in that a diffusion process is added to th...
In the actuarial literature, dependence structures in risk models have been extensively studied. The...
In this paper, we introduce and study fractional versions of the Bell–Touchard process, the Poisson-...