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. © 2013 Elsevier B.V..
Large deviations for fractional Poisson processes / Beghin, Luisa; Claudio, Macci. - In: STATISTICS & PROBABILITY LETTERS. - ISSN 0167-7152. - STAMPA. - 83:4(2013), pp. 1193-1202. [10.1016/j.spl.2013.01.017]
Large deviations for fractional Poisson processes
BEGHIN, Luisa;
2013
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. © 2013 Elsevier B.V..File allegati a questo prodotto
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