A class of non-standard random walks with applications to risk theory

MaRDI QIDQ3500459zbMATH OpenFDO

Authors Baoan Huang, Chuancun Yin

Publication date 3 June 2008

zbMATH Keywords

tail probabilityruin probabilityladder heightnon-standard random walkthe class \(S (\gamma)\)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50)

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• A note on asymptotic behavior for negative drift random walk with dependent heavy-tailed steps and its application to risk theory
• Local reconstruction theorem in the absence of mathematical expectation

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