Integro-local theorems in boundary crossing problems for compound renewal processes
For a compound renewal process where the data sequence \((\tau_n,\zeta_n)\) of (inter-arrival times, jump heights) consists of non-lattice variables which fulfill a Cramer condition limit theorems are presented for first passage time distributions for high levels in a long time horizon. The time scale and the height of the level are coupled in an asymptotically precise way. These results are generalized to boundary crossing problems with boundary described by smooth functions of time. An application to computing ruin probabilities in a general setting is provided. The statements of the main theorems on the behaviour of the compound renewal process \(Z(t),t\geq 0,\) are about probabilities of the form \(P(\eta_Z(x) := \min(t:Z(t)>x)\in [T,T+\delta_T), Z(\eta_Z(x))-x\in [v,v+\Delta_T))\) as \(T\to\infty\), where \(\delta_t\) and \(\Delta_T\) are asymptotically small (vanishing).
- Boundary crossing problems for compound renewal processes
- Integral theorems for the first passage time of an arbitrary boundary by a compound renewal process
- On the asymptotics of the distribution of the exit time beyond a non-increasing boundary for a compound renewal process
- On the asymptotics of the probability to stay above a non-increasing boundary for a non-homogeneous compound renewal process
- Integro-local limit theorems for compound renewal processes
- Approximations for the probability of ruin within finite time
- Asymptotic analysis of random walks. Rapidly decreasing distributions of increments
- Integro-local limit theorems for compound renewal processes under Cramér's condition. I
- Large deviation principles for the finite-dimensional distributions of compound renewal processes
- Large deviation principles in boundary problems for compound renewal processes
- On the Density and Moments of the Time of Ruin with Exponential Claims
- Ruin probabilities
- Ruin probabilities expressed in terms of ladder height distributions
- Approximations in the problem of level crossing by a compound renewal process
- Boundary crossing problems for compound renewal processes
- On the asymptotics of the distribution of the exit time beyond a non-increasing boundary for a compound renewal process
- Boundary functionals for the difference of nonordinary renewal processes with discrete time
- Integral theorems for the first passage time of an arbitrary boundary by a compound renewal process
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