Some asymptotic results for transient random walks with applications to insurance risk

DOI10.1239/jap/996986647zbMath0983.60042MaRDI QIDQ2731155

Aleksandras Baltrūnas

Publication date: 21 April 2002

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/996986647

zbMATH Keywords

asymptotic behavior; ruin probability; first passage time; heavy-tailed step distribution

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G50: Sums of independent random variables; random walks

60K25: Queueing theory (aspects of probability theory)

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

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