On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
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Publication:1743344
DOI10.1016/j.spa.2017.07.013zbMath1390.60110arXiv1608.09004OpenAlexW2963929395MaRDI QIDQ1743344
Publication date: 13 April 2018
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1608.09004
subexponential distributionsheavy tailsrandom walkLévy processcompound renewal processlong-tailed distributionsdistribution tails
Processes with independent increments; Lévy processes (60G51) Large deviations (60F10) Renewal theory (60K05)
Related Items (3)
Second order asymptotics for infinite-time ruin probability in a compound renewal risk model ⋮ Boundary crossing problems for compound renewal processes ⋮ Two-dimensional ruin probability for subexponential claim size
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