Affordable Access

Ruin probabilities in tough times - Part 1 - Heavy-traffic approximation for fractionally integrated random walks in the domain of attraction of a nonGaussian stable distribution

Authors
Disciplines
  • Mathematics

Abstract

Motivated by applications to insurance mathematics, we prove some heavy-traffic limit theorems for process which encompass the fractionally integrated random walk as well as some FARIMA processes, when the innovations are in the domain of attraction of a nonGaussian stable distribution.

There are no comments yet on this publication. Be the first to share your thoughts.