UNIFORM ESTIMATES FOR THE TAIL PROBABILITY OF MAXIMA OVER FINITE HORIZONS WITH SUBEXPONENTIAL TAILS

DOI10.1017/S0269964804181059MaRDI QIDQ4460799zbMATH OpenOpenAlexFDO

Authors Qihe Tang

Publication date 29 March 2004

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0269964804181059

zbMATH Keywords

uniform estimatesrandom walks with negative driftstail probabilities of maxima

Mathematics Subject Classification ID

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

Recommendations

• Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift
• scientific article; zbMATH DE number 2177574
• The maximum on a random time interval of a random walk with long-tailed increments and negative drift.
• On distribution tail of the maximum of a random walk
• Estimates for the tail probability of the supremum of a random walk with independent increments

Cites work

• scientific article; zbMATH DE number 978917 (Why is no real title available?)
• Exponential inequalities for ruin probabilities in the Cox case
• Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift

Cited in

(19)

• The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk
• Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
• Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
• Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift
• Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities
• Uniform tail asymptotics for the aggregate claims with stochastic discount in the renewal risk models
• Efficient simulation of finite horizon problems in queueing and insurance risk
• The uniform local asymptotics for a Lévy process and its overshoot and undershoot
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
• Maxima over random time intervals for heavy-tailed compound renewal and Lévy processes
• Finite-horizon ruin probability asymptotics in the compound discrete-time risk model
• Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
• On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
• Maximum on a random time interval of a random walk with infinite mean
• Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
• Uniform estimates for the finite-time ruin probability in the dependent renewal risk model
• Uniform asymptotic behavior of tail probability of maxima in a time-dependent renewal risk model
• A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model
• Uniform asymptotics of the finite-time ruin probability for all times

This page was built for publication: UNIFORM ESTIMATES FOR THE TAIL PROBABILITY OF MAXIMA OVER FINITE HORIZONS WITH SUBEXPONENTIAL TAILS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4460799)