Some asymptotic results for transient random walks with applications to insurance risk (Q2731155)

The author considers a real-valued random walk which drifts to \(-\infty\) and is such that the step distribution is heavy-tailed, e.g. sub-exponential. He derives some new results on the asymptotic behavior of the distribution of the upwards first passage time, and, as an application, he obtains a new proof of the exact rate of convergence for the ruin probability after time \(t\).