Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory

Abstract : We prove that a large class of discrete-time insurance surplus processes converge weakly to a generalized Ornstein-Uhlenbeck process, under a suitable re-normalization and when the time-step goes to 0. Motivated by ruin theory, we use this result to obtain approximations for the moments, the ultimate ruin probability and the discounted penalty function of the discrete-time process.
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https://hal.archives-ouvertes.fr/hal-02170829
Contributor : Jerome Spielmann <>
Submitted on : Tuesday, July 2, 2019 - 2:18:33 PM
Last modification on : Thursday, July 4, 2019 - 7:36:10 AM

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  • HAL Id : hal-02170829, version 1
  • ARXIV : 1907.01828

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Yuchao Dong, Jérôme Spielmann. Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory. 2019. ⟨hal-02170829⟩

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