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arXiv 1102.3956math.PRq-fin.RM
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艰难时期的破产概率.第2部分:nonGaussian稳定分布吸引区域中分数微分随机游动的高负荷服务近似

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, W. P. McCormick

摘要:

出于保险数学的应用,我们证明了一些高负荷服务限制定理的过程,其中包括分数微分随机游动以及一些FARIMA过程,当创新的吸引区域的非高斯稳定分布。

英文摘要:

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.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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