Weak limits of random coefficient autoregressive processes and their application in ruin theory
Y. Dong, J. Spielmann
| Year of publication: |
2020
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|---|---|
| Authors: | Dong, Y. ; Spielmann, J. |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 91.2020, p. 1-11
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| Subject: | Autoregressive process | First passage time | Generalized Ornstein-Uhlenbeck process | Invariance principle | Ruin probability | Stochastic recurrence equation | Weak convergence | Theorie | Theory | Stochastischer Prozess | Stochastic process | Wahrscheinlichkeitsrechnung | Probability theory | Autokorrelation | Autocorrelation | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2019.12.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012241966