An application of fractional differential equations to risk theory

被引:41
作者
Constantinescu, Corina D. [1 ]
Ramirez, Jorge M. [2 ]
Zhu, Wei R. [1 ]
机构
[1] Univ Liverpool, Inst Financial & Actuarial Math, Liverpool L69 7ZL, Merseyside, England
[2] Univ Nacl Colombia, Sede Medellin, Cra 65 59A-110, Medellin, Colombia
关键词
Ruin probability; Fractional differential operator; Collective risk model; RUIN; SURPLUS; TIME;
D O I
10.1007/s00780-019-00400-8
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
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.
引用
收藏
页码:1001 / 1024
页数:24
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