Weak limits of random coefficient autoregressive processes and their application in ruin theory

DOI10.1016/j.insmatheco.2019.12.001zbMath1435.91147arXiv1907.01828OpenAlexW2955699995MaRDI QIDQ2306085

Yanyan Li

Publication date: 20 March 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.01828

zbMATH Keywords

weak convergenceinvariance principleruin probabilityfirst passage timeautoregressive processstochastic recurrence equationgeneralized Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) Actuarial mathematics (91G05)

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