The supremum of random walk with negatively associated and heavy-tailed steps

DOI10.1016/J.SPL.2007.02.018MaRDI QIDQ2467372zbMATHOpenAlexFDO

Authors Chun Su, Dingcheng Wang, Pingyan Chen

Publication date 21 January 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/1885/36879

zbMATH Keywords

random walkheavy-tailssupremumnegative associationequilibrium distribution

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

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Cites work

• scientific article; zbMATH DE number 3738722 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• Characterizations on heavy-tailed distributions by means of hazard rate.
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Insensitivity to negative dependence of the asymptotic behavior of precise large deviations
• Negative association of random variables, with applications
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• The supremum of a negative drift random walk with dependent heavy-tailed steps.

Cited in

(6)

• Asymptotics for ruin probabilities of two kinds of dependent risk models with NLOD inter-arrival times
• Randomly weighted sums of pairwise quasi upper-tail independent increments with application to risk theory
• scientific article; zbMATH DE number 2039008 (Why is no real title available?)
• Penalisation of the symmetric random walk by several functions of the supremum
• The supremum of a negative drift random walk with dependent heavy-tailed steps.
• Finite- and infinite-time ruin probabilities with general stochastic investment return processes and bivariate upper tail independent and heavy-tailed claims

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