Michael J. Davis, Yingdong Lu, et al.
Service Science
Paper
Finite horizon ruin probabilities for random walks with heavy tailed increments
Abstract
We study the asymptotic behavior of finite horizon ruin probabilities for random walks with heavy tailed increment via corrected diffusion approximation. We follow the main idea in [4] of inverting Fourier transformation, and the Fourier transformation is calculated through optimal stopping and a central limit theorem for renewal process. Copyright © Cambridge University Press 2013.
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