Tail behavior of supremum of a random walk when Cramér's condition fails
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Publication:2259115
DOI10.1007/S11464-013-0302-1zbMath1322.60053OpenAlexW2059174765MaRDI QIDQ2259115
Publication date: 27 February 2015
Published in: Frontiers of Mathematics in China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11464-013-0302-1
asymptotic estimaterandom walkruin probabilityrenewal risk modelsupremumexponential distribution classO-subexponential distribution class
Sums of independent random variables; random walks (60G50) Probability distributions: general theory (60E05) Limit theorems in probability theory (60F99) Renewal theory (60K05)
Related Items (7)
On the closure under infinitely divisible distribution roots ⋮ On asymptotic equivalence among the solutions of some defective renewal equations ⋮ On closure properties of heavy-tailed distributions for random sums ⋮ Convolution and convolution-root properties of long-tailed distributions ⋮ The local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summands ⋮ Asymptotics for the solutions to defective renewal equations ⋮ Some positive conclusions related to the Embrechts-Goldie conjecture
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