We prove large deviation principles for two versions of fractional Poisson processes: the main version is a renewal process, the alternative version is a weighted Poisson process. We also present asymptotic results for the ruin probabilities of an insurance model with a fractional Poisson claim number process. (C) 2013 Elsevier B.V. All rights reserved.
Beghin, L., Macci, C. (2013). Large deviations for fractional Poisson processes. STATISTICS & PROBABILITY LETTERS, 83(4), 1193-1202 [10.1016/j.spl.2013.01.017].
Large deviations for fractional Poisson processes
MACCI, CLAUDIO
2013-01-01
Abstract
We prove large deviation principles for two versions of fractional Poisson processes: the main version is a renewal process, the alternative version is a weighted Poisson process. We also present asymptotic results for the ruin probabilities of an insurance model with a fractional Poisson claim number process. (C) 2013 Elsevier B.V. All rights reserved.File in questo prodotto:
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