Tail behavior of supremum of a random walk when Cramér's condition fails
From MaRDI portal
Publication:2259115
DOI10.1007/s11464-013-0302-1zbMath1322.60053OpenAlexW2059174765MaRDI QIDQ2259115
Publication date: 27 February 2015
Published in: Frontiers of Mathematics in China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11464-013-0302-1
asymptotic estimaterandom walkruin probabilityrenewal risk modelsupremumexponential distribution classO-subexponential distribution class
Sums of independent random variables; random walks (60G50) Probability distributions: general theory (60E05) Limit theorems in probability theory (60F99) Renewal theory (60K05)
Related Items
On the closure under infinitely divisible distribution roots, On asymptotic equivalence among the solutions of some defective renewal equations, On closure properties of heavy-tailed distributions for random sums, Convolution and convolution-root properties of long-tailed distributions, The local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summands, Asymptotics for the solutions to defective renewal equations, Some positive conclusions related to the Embrechts-Goldie conjecture
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Uniform asymptotics of the finite-time ruin probability for all times
- New examples of heavy-tailed O-subexponential distributions and related closure properties
- Some properties of the exponential distribution class with applications to risk theory
- Random walks with non-convolution equivalent increments and their applications
- Finite-time ruin probability of a nonstandard compound renewal risk model with constant force of interest
- The full solution of the convolution closure problem for convolution- equivalent distributions
- Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims
- Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
- Convolution equivalence and distributions of random sums
- Ratio of the tail of an infinitely divisible distribution on the line to that of its Lévy measure
- Lower limits and upper limits for tails of random sums supported on \(\mathbb R\)
- Some new equivalent conditions on asymptotics and local asymptotics for random sums and their applications
- On lower limits and equivalences for distribution tails of randomly stopped sums
- Equivalent conditions of asymptotics for the density of the supremum of a random walk in the Intermediate case
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- On convolution tails
- Asymptotic behaviour of Wiener-Hopf factors of a random walk
- Degeneracy properties of subcritical branching processes
- Subexponential distributions and characterizations of related classes
- Asymptotic ordering of distribution functions and convolution semigroups
- Functions of probability measures
- Asymptotics for sums of random variables with local subexponential behaviour
- A local limit theorem for random walk maxima with heavy tails
- Some discussions on the class \({\mathcal L} (\gamma)\)
- Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models
- Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
- On distribution tail of the maximum of a random walk
- Infinite divisibility and generalized subexponentiality
- Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
- The Uniform Local Asymptotics of the Overshoot of a Random Walk with Heavy-Tailed Increments
- On the non-closure under convolution of the subexponential family
- Ruin probabilities in the presence of heavy-tails and interest rates
- Convolution equivalence and infinite divisibility
- Some asymptotic results for transient random walks
- An Introduction to Heavy-Tailed and Subexponential Distributions
- Asymptotics for the moments of the overshoot and undershoot of a random walk
- Asymptotics of the density of the supremum of a random walk with heavy-tailed increments