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Probab. Eng. Inf. Sci.
Paper

Finite horizon ruin probabilities for random walks with heavy tailed increments

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Abstract

We study the asymptotic behavior of finite horizon ruin probabilities for random walks with heavy tailed increment via corrected diffusion approximation. We follow the main idea in [4] of inverting Fourier transformation, and the Fourier transformation is calculated through optimal stopping and a central limit theorem for renewal process. Copyright © Cambridge University Press 2013.

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Publication

Probab. Eng. Inf. Sci.

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