Large deviations for fractional Poisson processes

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.

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Year of publication:	2013
Authors:	Beghin, Luisa ; Macci, Claudio
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 4, p. 1193-1202
Publisher:	Elsevier
Subject:	Mittag-Leffler function \| Renewal process \| Ruin probability \| Weighted Poisson distribution \| Relative entropy

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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