Asymptotics of the ruin probability with claims modeled by -stable aggregated AR(1) process

MaRDI QIDQ4908925zbMATH OpenFDO

Authors Karina Perilioğlu, Donata Puplinskaitė

Publication date 7 March 2013

zbMATH Keywords

aggregationdependent \(\alpha \)-stable claimslong memorymixed stable moving averagerandom-coefficient \(\mathrm{AR}(1)\) processruin probabilityself-similar process

Mathematics Subject Classification ID

Stable stochastic processes (60G52)

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Cited in

(3)

• Ruin probability with claims modeled by a stationary ergodic stable process.
• Asymptotic analysis of the ruin with stationary stable steps generated by dissipative flows
• Ruin probability with certain stationary stable claims generated by conservative flows

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