Asymptotic analysis of the ruin with stationary stable steps generated by dissipative flows

DOI10.1080/03461230701485681zbMath1150.60024OpenAlexW2044351571MaRDI QIDQ3505341

Uğur Tuncay Alparslan, Gennady Samorodnitsky

Publication date: 18 June 2008

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230701485681

zbMATH Keywords

heavy tailsruin probabilitylong range dependencestable processes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stable stochastic processes (60G52)

Related Items

Ruin probability with certain stationary stable claims generated by conservative flows ⋮ Exceedance of power barriers for integrated continuous-time stationary ergodic stable processes ⋮ Tail Probability of the Supremum of a Random Walk with Stable Steps and a Nonlinear Negative Drift

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