Tail behavior of supremum of a random walk when Cramér's condition fails
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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
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