Ruin probabilities in tough times - Part 1 - Heavy-traffic approximation for fractionally integrated random walks in the domain of attraction of a nonGaussian stable distribution

arXiv1101.4437MaRDI QIDQ6223136FDOQ6223136

Publication date: 23 January 2011

Abstract: Motivated by applications to insurance mathematics, we prove some heavy-traffic limit theorems for process which encompass the fractionally integrated random walk as well as some FARIMA processes, when the innovations are in the domain of attraction of a nonGaussian stable distribution.

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Extreme value theory; extremal stochastic processes (60G70) Fractional processes, including fractional Brownian motion (60G22) Queueing theory (aspects of probability theory) (60K25) Limit theorems in probability theory (60F99) Stable stochastic processes (60G52)

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