The supremum of a negative drift random walk with dependent heavy-tailed steps.

DOI10.1214/aoap/1019487517zbMath1083.60506MaRDI QIDQ1872494

Gennady Samorodnitsky, Thomas Mikosch

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aoap/1019487517

zbMATH Keywords

large deviations; heavy tails; risk; ruin probability; stationary process; random recursion; stationary queue

Mathematics Subject Classification ID

60F10: Large deviations

60K30: Applications of queueing theory (congestion, allocation, storage, traffic, etc.)

Related Items

Asymptotics for Weighted Random Sums, Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims, A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization, General inverse problems for regular variation, Hidden regular variation of moving average processes with heavy-tailed innovations, How to model multivariate extremes if one must?, Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims, Extremes of regularly varying Lévy-driven mixed moving average processes, Power estimates for ruin probabilities, Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series, Renewal regime switching and stable limit laws, Functional convergence of linear processes with heavy-tailed innovations, A large deviations approach to limit theory for heavy-tailed time series, Large deviations for solutions to stochastic recurrence equations under Kesten's condition, Precise large deviations for dependent regularly varying sequences, Properties of spectral covariance for linear processes with infinite variance, Heavy tails of OLS, Veraverbeke's theorem at large: on the maximum of some processes with negative drift and heavy tail innovations, A ruin model with dependence between claim sizes and claim intervals, On Beveridge-Nelson decomposition and limit theorems for linear random fields, Modeling teletraffic arrivals by a Poisson cluster process, Random rewards, fractional Brownian local times and stable self-similar processes, Ruin probabilities for Bayesian exchangeable claims processes, Weak convergence of Vervaat and Vervaat error processes of long-range dependent sequences, Trimmed sums of long range dependent moving averages, Tail probabilities for infinite series of regularly varying random vectors, Some aspects of extreme value statistics under serial dependence, Inverse problems for regular variation of linear filters, a cancellation property for \(\sigma\)-finite measures and identification of stable laws, Asymptotic tail probabilities of sums of dependent subexponential random variables, Integrability of infinite weighted sums of heavy-tailed i.i.d.\ random variables., Ruin probabilities and overshoots for general Lévy insurance risk processes, Ruin probability with claims modeled by a stationary ergodic stable process., Ruin problem and how fast stochastic processes mix, Long strange segments of a stochastic process., Long strange segments in a long-range-dependent moving average., The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes, The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains, Exact upper tail probabilities of random series, Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns, Measures of serial extremal dependence and their estimation, A Fourier analysis of extreme events, Copulas: Tales and facts (with discussion), The supremum of random walk with negatively associated and heavy-tailed steps, Tail calculus with remainder, applications to tail expansions for infinite order moving averages, randomly stopped sums, and related topics, Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities, Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations, Estimation for non-negative time series with heavy-tail innovations, Tail Probability of the Supremum of a Random Walk with Stable Steps and a Nonlinear Negative Drift, Do financial returns have finite or infinite variance? A paradox and an explanation, Information ranking and power laws on trees, On the estimation of the heavy-tail exponent in time series using the max-spectrum, Regular Variation of Infinite Series of Processes with Random Coefficients, Large Deviations for Point Processes Based on Stationary Sequences with Heavy Tails, On the Distribution of the Nearly Unstable AR(1) Process with Heavy Tails

Cites Work