Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory

Yuchao Dong and J\'er\^ome Spielmann
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Yuchao Dong: LASP
J\'er\^ome Spielmann: LAREMA, UA

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Abstract: We prove that a large class of discrete-time insurance surplus processes converge weakly to a generalized Ornstein-Uhlenbeck process, under a suitable re-normalization and when the time-step goes to 0. Motivated by ruin theory, we use this result to obtain approximations for the moments, the ultimate ruin probability and the discounted penalty function of the discrete-time process.

Date: 2019-07, Revised 2020-02
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Published in Insurance: Mathematics and Economics, Elsevier, 2020, 91, pp.1-11

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1907.01828

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