Large deviations for fractional Poisson processes

Luisa Beghin and Claudio Macci

Statistics & Probability Letters, 2013, vol. 83, issue 4, 1193-1202

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.

Keywords: Mittag-Leffler function; Renewal process; Ruin probability; Weighted Poisson distribution; Relative entropy (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.spl.2013.01.017

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