A Class of Conditional Limit Theorems Related to Ruin Problem
نویسندگان
چکیده
منابع مشابه
Total Variation Approximations and Conditional Limit Theorems for Multivariate Regularly Varying Random Walks Conditioned on Ruin
We study a new technique for the asymptotic analysis of heavy-tailed systems conditioned on large deviations events. We illustrate our approach in the context of ruin events of multidimensional regularly varying random walks. Our approach is to study the Markov process described by the random walk conditioned on hitting a rare target set. We construct a Markov chain whose transition kernel can ...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 1983
ISSN: 0091-1798
DOI: 10.1214/aop/1176993658