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.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
More From: Probability in the Engineering and Informational Sciences
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.