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

DOI10.1016/J.SPL.2007.02.018zbMATH Open1130.60053OpenAlexW1981719345MaRDI QIDQ2467372FDOQ2467372

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

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zbMATH Keywords

random walkheavy-tailssupremumnegative associationequilibrium distribution

Mathematics Subject Classification ID

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

Cites Work

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• Negative association of random variables, with applications
• The supremum of a negative drift random walk with dependent heavy-tailed steps.
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• Insensitivity to negative dependence of the asymptotic behavior of precise large deviations
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• Characterizations on heavy-tailed distributions by means of hazard rate.

Cited In (6)

• Randomly Weighted Sums of Pairwise Quasi Upper-Tail Independent Increments with Application to Risk Theory
• The supremum of a negative drift random walk with dependent heavy-tailed steps.
• Title not available (Why is that?)
• Penalisation of the symmetric random walk by several functions of the supremum
• Asymptotics for ruin probabilities of two kinds of dependent risk models with NLOD inter-arrival times
• 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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