Ruin probabilities in tough times - Part 2 - Heavy-traffic approximation for fractionally differentiated random walks in the domain of attraction of a nonGaussian stable distribution

Ph. Barbe and W. P. McCormick
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Ph. Barbe: CNRS
W. P. McCormick: UGA

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

Date: 2011-02
New Economics Papers: this item is included in nep-ias, nep-mic and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1102.3956

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