Self-similar processes in collective risk theory (Q1277066): Difference between revisions
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Latest revision as of 02:47, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Self-similar processes in collective risk theory |
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Self-similar processes in collective risk theory (English)
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7 June 2000
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Conditions are given for an insurance risk process to converge weakly to a long-range dependent process, in particular fractional Brownian motion. Convergence of the associated ruin probabilities is discussed and various estimates of the ruin probabilities for fractional Brownian motion are given. The occurrence of long-range dependence in insurance risk is motivated by an example with alternating periods of safe and risky conditions, along the lines of \textit{D. Heath}, \textit{S. Resnick} and \textit{G. Samorodnitsky} [Ann. Appl. Probab. 9, No. 2, 352-375 (1999)].
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alternating renewal process
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fractional Brownian motion
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functional central limit theorem
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Hermite rank
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long-range dependence
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ruin probability
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Skorokhod topology
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