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 Large deviations for fractional Poisson processes


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We prove large deviation principles for two versions of fractional Poisson processes. Firstly we consider the main version which is a renewal process; we also present large deviation estimates for the ruin probabilities of an insurance model with constant premium rate, i.i.d. light tail claim sizes, and a fractional Poisson claim number process. We conclude with the alternative version where all the random variables are weighted Poisson distributed. Keywords: Mittag Le?er function; renewal process; random time cha



Autor: Luisa Beghin; Claudio Macci

Fuente: https://archive.org/







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