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20042011
most citedVeraverbeke's theorem at large - On the maximum of some processes with negative drift and heavy tail innovations

2 citations · 2 across the 6 of their papers we have counts for

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Showing 2011 · math.PRShow all

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math.PR2011

Ruin probabilities in tough times - Part 2 - Heavy-traffic approximation for fractionally differentiated random walks in the domain of attraction of a nonGaussian stable distribution

Ph. Barbe, W. P. McCormick

Motivated by applications to insurance mathematics, we prove some heavy-traffic limit theorems for processes which encompass the fractionally differentiated random walk as well as…

math.PR2011

Ruin probabilities in tough times - Part 1 - Heavy-traffic approximation for fractionally integrated random walks in the domain of attraction of a nonGaussian stable distribution

Ph. Barbe, W. P. McCormick

Motivated by applications to insurance mathematics, we prove some heavy-traffic limit theorems for process which encompass the fractionally integrated random walk as well as some F…