FINITE HORIZON RUIN PROBABILITIES FOR RANDOM WALKS WITH HEAVY TAILED INCREMENTS

DOI10.1017/S0269964812000435zbMath1276.60055MaRDI QIDQ2845132

Yingdong Lu

Publication date: 22 August 2013

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingdiffusion approximationfinite horizon ruin probabilities

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

Cites Work

• Corrected diffusion approximations in certain random walk problems
• Approximations for Finite Horizon Ruin Probabilities in the Renewal Model
• Applied Probability and Queues

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