Ruin probability with claims modeled by a stationary ergodic stable process.

DOI10.1214/aop/1019160509zbMath1044.60028OpenAlexW1899154577MaRDI QIDQ1872170

Thomas Mikosch, Gennady Samorodnitsky

Publication date: 6 May 2003

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1019160509

zbMATH Keywords

heavy tailsriskruin probabilitystationary processstable processsupremumnegative drift

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Stationary stochastic processes (60G10) Stable stochastic processes (60G52) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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