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

DOI10.1017/S0269964804181059zbMATH Open1040.60038OpenAlexW2151658285MaRDI QIDQ4460799FDOQ4460799

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

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zbMATH Keywords

uniform estimatesrandom walks with negative driftstail probabilities of maxima

Mathematics Subject Classification ID

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

Cites Work

• Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift
• Exponential inequalities for ruin probabilities in the Cox case
• Title not available (Why is that?)

Cited In (19)

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

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