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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


  • Ph. Barbe


  • W. P. McCormick



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.

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  • Ph. Barbe & W. P. McCormick, 2011. "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," Papers 1101.4437,
  • Handle: RePEc:arx:papers:1101.4437

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