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• W2955699995 abstract "We prove that a large class of discrete-time insurance surplus processes converge weakly to a generalized Ornstein-Uhlenbeck process, under a suitable re-normalization and when the time-step goes to 0. Motivated by ruin theory, we use this result to obtain approximations for the moments, the ultimate ruin probability and the discounted penalty function of the discrete-time process." @default.
• W2955699995 created "2019-07-12" @default.
• W2955699995 creator A5016885002 @default.
• W2955699995 creator A5052534634 @default.
• W2955699995 date "2020-03-01" @default.
• W2955699995 modified "2023-10-03" @default.
• W2955699995 title "Weak limits of random coefficient autoregressive processes and their application in ruin theory" @default.
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• W2955699995 doi "https://doi.org/10.1016/j.insmatheco.2019.12.001" @default.
• W2955699995 hasPublicationYear "2020" @default.
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