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

DOI10.1214/aoap/1019487517zbMath1083.60506OpenAlexW1989516515MaRDI QIDQ1872494

Thomas Mikosch, Gennady Samorodnitsky

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

Large deviations (60F10) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (70)

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

Cites Work

This page was built for publication: The supremum of a negative drift random walk with dependent heavy-tailed steps.