Second order corrections for the limits of normalized ruin times in the presence of heavy tails

DOI10.1214/11-SSY054zbMath1300.60108arXiv1112.2543MaRDI QIDQ5168875

Dominik Kortschak, Soren Asmussen

Publication date: 21 July 2014

Full work available at URL: https://arxiv.org/abs/1112.2543

zbMATH Keywords

regular variationrisk processPoisson processtransient behaviorstorage processfinite time ruin probability\(\mathrm{M}/\mathrm{G}/1\) queuesecond order subexponentiality

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (1)

On Exceedance Times for Some Processes with Dependent Increments

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