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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
heavy traffic ruin probability fractional random walk FARIMA process Poisson process
2011/3/23
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 some FARIMA processe...
The Anderson-Darling test of fit for the power law distribution from left censored samples
Power law distribution Complexity Goodness-of-fit
2010/10/20
Maximum likelihood estimation and a test of fit based on the Anderson-Darling statistic is presented for the case of the power law distribution when the parameters are estimated from a left-censored ...
We briefly review results on nonlinear kinetic equation of Boltzmann type which describe the evolution of wealth in a simple agents market. The mathematical structure of the underlying kinetic equatio...
Wealth distribution: To be or not to be a Gamma?
Econophysics Gamma distribution kinetic theory
2010/10/20
We review some aspects, especially those we can tackle analytically, of a minimal model of closed economy analogous to the kinetic theory model of ideal gases where the agents exchange wealth amongst ...