Total variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruin

DOI10.3150/12-BEJ492zbMath1304.60052arXiv1403.1669MaRDI QIDQ2448699

Jingchen Liu, Jose H. Blanchet

Publication date: 5 May 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.1669

zbMATH Keywords

Markov processMarkov chainrandom walkconditional distributionconditional central limit theoremmultivariate regularly variationheavy-tail

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Continuous-time Markov processes on general state spaces (60J25) Sums of independent random variables; random walks (60G50) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process

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