Integro-local theorems in boundary crossing problems for compound renewal processes (Q2186301)

For a compound renewal process where the data sequence \((\tau_n,\zeta_n)\) of (inter-arrival times, jump heights) consists of non-lattice variables which fulfill a Cramer condition limit theorems are presented for first passage time distributions for high levels in a long time horizon. The time scale and the height of the level are coupled in an asymptotically precise way. These results are generalized to boundary crossing problems with boundary described by smooth functions of time. An application to computing ruin probabilities in a general setting is provided. The statements of the main theorems on the behaviour of the compound renewal process \(Z(t),t\geq 0,\) are about probabilities of the form \(P(\eta_Z(x) := \min(t:Z(t)>x)\in [T,T+\delta_T), Z(\eta_Z(x))-x\in [v,v+\Delta_T))\) as \(T\to\infty\), where \(\delta_t\) and \(\Delta_T\) are asymptotically small (vanishing).