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FINITE HORIZON RUIN PROBABILITIES FOR RANDOM WALKS WITH HEAVY TAILED INCREMENTS

Published online by Cambridge University Press:  28 March 2013

Yingdong Lu
Yingdong Lu*
Affiliation:
IBM T.J. Watson Research Center, Yorktown Heights, NY 10598 E-mail: yingdong@us.ibm.com
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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.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 27 , Issue 2 , April 2013 , pp. 237 - 246
Copyright
Copyright © Cambridge University Press 2013

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References

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