Ruin probabilities in tough times - Part 2 - Heavy-traffic approximation for fractionally differentiated random walks in the domain of attraction of a nonGaussian stable distribution
AbstractMotivated by applications to insurance mathematics, we prove some heavy-traffic limit theorems for processes which encompass the fractionally differentiated random walk as well as some FARIMA processes, when the innovations are in the domain of attraction of a nonGaussian stable distribution.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1102.3956.
Date of creation: Feb 2011
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-03-05 (All new papers)
- NEP-IAS-2011-03-05 (Insurance Economics)
- NEP-MIC-2011-03-05 (Microeconomics)
- NEP-RMG-2011-03-05 (Risk Management)
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