论文标题
混合分数风险过程
Mixed fractional Risk Process
论文作者
论文摘要
在本文中，我们介绍了一个风险过程，即混合分数风险过程（MFRP），其中使用混合分数泊松工艺（MFPP）对相关索赔过程中的索赔数量进行建模。研究了MFRP的协方差结构，并建立了其远程依赖性。另外，我们表明MFRP的增量具有短距离依赖性属性。引入了基于MFPP的另一部分风险过程，我们称为MFRP-II。在保费方面，它与MFRP不同。在获得指数级和亚指数分布的情况下，它的毁灭概率获得了。
In this paper, we introduce a risk process, namely, the mixed fractional risk process (MFRP) in which the number of claims in the associated claim process are modelled using the mixed fractional Poisson process (MFPP). The covariance structure of the MFRP is studied and its long-range dependence property has been established. Also, we show that the increments of MFRP exhibit the short-range dependence property. Another fractional risk process based on the MFPP is introduced which we call as the MFRP-II. It differs from the MFRP in terms of premium. Its ruin probabilities in the case of exponential and subexponential distributions of claim sizes are obtained.
