A fractional multi-states model for insurance
From MaRDI portal
Publication:2034158
DOI10.1016/J.INSMATHECO.2021.02.004zbMath1466.91260OpenAlexW3137936917MaRDI QIDQ2034158
Publication date: 21 June 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://dial.uclouvain.be/pr/boreal/fr/object/boreal%3A245421/datastream/PDF_01/view
Markov renewal processes, semi-Markov processes (60K15) Applications of continuous-time Markov processes on discrete state spaces (60J28) Actuarial mathematics (91G05)
Related Items (3)
Fractional inhomogeneous multi-state models in life insurance ⋮ Multivariate claim processes with rough intensities: properties and estimation ⋮ A subdiffusive stochastic volatility jump model
Cites Work
- Unnamed Item
- Correlation structure of fractional Pearson diffusions
- Full backward non-homogeneous semi-Markov processes for disability insurance models: a Catalunya real data application
- Finite non-homogeneous semi-Markov processes: Theoretical and computational aspects
- Black-Scholes formula in subdiffusive regime
- Fractional Poisson processes and related planar random motions
- Fractional Poisson fields and martingales
- Fractional Hawkes processes
- Option pricing in illiquid markets: a fractional jump-diffusion approach
- Fractional risk process in insurance
- Multivariate fractional phase-type distributions
- Fractional Poisson Process: Long-Range Dependence and Applications in Ruin Theory
- Lévy Processes and Stochastic Calculus
- A Method for Simulating Stable Random Variables
- A realistic non-homogeneous stochastic pension fund model on scenario basis
- The use of phase-type models for disability insurance calculations
- Inverse Stable Subordinators
This page was built for publication: A fractional multi-states model for insurance
