Ruin probability with certain stationary stable claims generated by conservative flows

DOI10.1239/aap/1183667615zbMath1132.60043MaRDI QIDQ3590743

Gennady Samorodnitsky, Uğur Tuncay Alparslan

Publication date: 3 September 2007

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1183667615

zbMATH Keywords

fractional Brownian motion; ruin probability; ergodic theory; heavy tail; stable process; conservative flow; null-recurrent Markov chain

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60G52: Stable stochastic processes

Related Items

Tail Probability of the Supremum of a Random Walk with Stable Steps and a Nonlinear Negative Drift, Exceedance of power barriers for integrated continuous-time stationary ergodic stable processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Random rewards, fractional Brownian local times and stable self-similar processes
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Ergodic theorems. With a supplement by Antoine Brunel
• Classes of mixing stable processes
• How misleading can sample ACFs of stable MAs be? (Very!)
• Ruin probability with claims modeled by a stationary ergodic stable process.
• On the structure of stationary stable processes
• Tail probabilities of subadditive functionals on stable processes with continuous and discrete time
• Asymptotic analysis of the ruin with stationary stable steps generated by dissipative flows
• Maxima of continuous-time stationary stable processes
• Regular Variation of Markov Renewal Functions