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.
Publisher
Cambridge University Press (CUP)
Subject
Industrial and Manufacturing Engineering,Management Science and Operations Research,Statistics, Probability and Uncertainty,Statistics and Probability
Reference6 articles.
1. Corrected diffusion approximations in certain random walk problems
2. Asymptotic estimation of finite horizon ruin probability for random walks with heavy tailed increments through corrected diffusion approximations;Lu;International Journal of Applied. Mathematics and Statistics,2009
3. Approximations for Finite Horizon Ruin Probabilities in the Renewal Model
4. Comment on ‘Corrected diffusion approximations in certain random walk problems'
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