英文标题：
《Weak Limits of Random Coefficient Autoregressive Processes and their
Application in Ruin Theory》
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作者：
Yuchao Dong (LASP), J\\\'er\\^ome Spielmann (LAREMA, UA)
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最新提交年份：
2020
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英文摘要：
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.
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中文摘要：
我们证明了一大类离散时间保险盈余过程在适当的重新规范化下，当时间步长为0时，弱收敛于广义Ornstein-Uhlenbeck过程。受破产理论的启发，我们利用这一结果获得了离散时间过程的矩、最终破产概率和贴现惩罚函数的近似值。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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