Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk

DOI10.15559/18-VMSTA99zbMath1393.91100arXiv1806.03827WikidataQ115513729 ScholiaQ115513729MaRDI QIDQ1645190

Dominyka Kievinaitė, Jonas Šiaulys

Publication date: 28 June 2018

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.03827

zbMATH Keywords

tail probabilityinhomogeneityruin probabilityexponential boundrisk modelLundberg's inequalitysupremum of sums

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items

Exponential tail estimates in the law of ordinary logarithm (LOL) for triangular arrays of random variables, Unnamed Item, Bi-seasonal discrete time risk model with income rate two, Lundberg-type inequalities for non-homogeneous risk models, Note on the bi-risk discrete time risk model with income rate two, Exponential bounds of ruin probabilities for non-homogeneous risk models

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