On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes

DOI10.1016/J.SPA.2017.07.013MaRDI QIDQ1743344zbMATH OpenOpenAlexFDO

Authors Dmitry Korshunov

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, https://eprints.lancs.ac.uk/id/eprint/87232/1/Levy_maximum.pdf

zbMATH Keywords

random walkheavy tailslong-tailed distributionscompound renewal processsubexponential distributionsdistribution tailsLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Large deviations (60F10) Renewal theory (60K05)

Abstract: We study subexponential tail asymptotics for the distribution of the maximum $M_t:=su{p}_{uin[0,t]}{X}_u$ of a process $X_t$ with negative drift for the entire range of $t>0$. We consider compound renewal processes with linear drift and L'evy processes. For both we also formulate and prove the principle of a single big jump for their maxima. The class of compound renewal processes particularly includes Cram'er-Lundberg risk process.

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Cited in

(7)

• Two-dimensional ruin probability for subexponential claim size
• Cramér's estimate for stable processes with power drift
• Boundary crossing problems for compound renewal processes
• Subexponential potential asymptotics with applications
• Maxima over random time intervals for heavy-tailed compound renewal and Lévy processes
• Second order asymptotics for infinite-time ruin probability in a compound renewal risk model
• Uniform asymptotics for finite-time ruin probabilities of a bidimensional compound risk model with stochastic returns

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