The exponential rate of convergence of the distribution of the maximum of a random walk. Part II

DOI10.2307/3212528MaRDI QIDQ4124068zbMATH OpenOpenAlexFDO

Authors Noël Veraverbeke, J. L. Teugels

Publication date 1976

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

Full work available at URL https://doi.org/10.2307/3212528

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Limit theorems in probability theory (60F99)

Cited in

(5)

• Approximations for the probability of ruin within finite time
• Analytical best upper bounds on stop-loss premiums
• Maximum likelihood estimation of a change-point for exponentially distributed random variables.
• Computable exponential convergence rates for stochastically ordered Markov processes
• Exponential Behavior in the Presence of Dependence in Risk Theory

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