Karina PERİLİOĞLU, Donata PUPLINSKAITE

Asymptotics of the ruin probability with claims modeled by \a-stable aggregated AR(1) process

Asymptotics of the ruin probability with claims modeled by \a-stable aggregated AR(1) process

Turkish Journal of Mathematics

2013-Cilt: 37 - Sayı: 1

129-138

Key words: Ruin probability, dependent a-stable claims, aggregation, random-coefficient AR(1) process, mixed stable moving average, self-similar process, long memory

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