Asymptotics of the ruin probability with claims modeled by \(\alpha \)-stable aggregated \(\operatorname{AR}(1)\) process (Q4908925)
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scientific article; zbMATH DE number 6142685
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| English | Asymptotics of the ruin probability with claims modeled by \(\alpha \)-stable aggregated \(\operatorname{AR}(1)\) process |
scientific article; zbMATH DE number 6142685 |
Statements
7 March 2013
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ruin probability
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dependent \(\alpha \)-stable claims
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aggregation
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random-coefficient \(\mathrm{AR}(1)\) process
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mixed stable moving average
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self-similar process
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long memory
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0.8105921149253845
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0.8053050637245178
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0.79668128490448
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0.7743123769760132
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