A note on asymptotic behavior for negative drift random walk with dependent heavy-tailed steps and its application to risk theory

DOI10.1016/S0252-9602(07)60002-2MaRDI QIDQ2463944zbMATH OpenOpenAlexFDO

Authors Chun Su, Dingcheng Wang

Publication date 7 December 2007

Published in Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0252-9602(07)60002-2

zbMATH Keywords

dependent stepheavy tailnegative drift random walktail balance conditionultimate ruin probability

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(4)

• The supremum of a negative drift random walk with dependent heavy-tailed steps.
• The supremum of random walk with negatively associated and heavy-tailed steps
• Tail probability of the supremum of a random walk with stable steps and a nonlinear negative drift
• scientific article; zbMATH DE number 2039008 (Why is no real title available?)

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