Abstract
We study weak convergence of increment processes with embedded Markov chain switching in a series scheme. The limit process is a Lévy process where the jump part is a compound Poisson process. A result concerning the rate of convergence is also given. This study is motivated by risk theory and its applications.
Full Text
Sign-in/Register to access full text options
Published version (Free)
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have