Ruin probability with certain stationary stable claims generated by conservative flows
DOI10.1239/AAP/1183667615zbMATH Open1132.60043OpenAlexW2102459352MaRDI QIDQ3590743FDOQ3590743
Authors: Uğur Tuncay Alparslan, Gennady Samorodnitsky 
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
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fractional Brownian motionergodic theoryruin probabilityconservative flowheavy tailstable processnull-recurrent Markov chain
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stable stochastic processes (60G52)
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- Asymptotic analysis of the ruin with stationary stable steps generated by dissipative flows
Cited In (7)
- Calculation of ruin probabilities for a dense class of heavy tailed distributions
- Asymptotics of the ruin probability with claims modeled by \(\alpha \)-stable aggregated \(\operatorname{AR}(1)\) process
- Network security risk: an approach to computing model
- Ruin probability with claims modeled by a stationary ergodic stable process.
- Tail probability of the supremum of a random walk with stable steps and a nonlinear negative drift
- Asymptotic analysis of the ruin with stationary stable steps generated by dissipative flows
- Exceedance of power barriers for integrated continuous-time stationary ergodic stable processes
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