Ruin probability with certain stationary stable claims generated by conservative flows
From MaRDI portal
Publication:3590743
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
fractional Brownian motion; ruin probability; ergodic theory; heavy tail; stable process; conservative flow; null-recurrent Markov chain
62P05: Applications of statistics to actuarial sciences and financial mathematics
60G52: Stable stochastic processes
Related Items
Cites Work
- 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
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
