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math.ST2021
Tempered Stable Autoregressive Models
Niharika Bhootna, Arun Kumar
In this article, we introduce and study a one sided tempered stable first order autoregressive model called TAR(1). Under the assumption of stationarity of the model, the marginal…
math.ST2018
Fractional Risk Process in Insurance
Arun Kumar, Nikolai Leonenko, Alois Pichler
Important models in insurance, for example the Carm{é}r--Lundberg theory and the Sparre Andersen model, essentially rely on the Poisson process. The process is used to model arriva…