Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift

DOI10.1080/10920277.2003.10596103MaRDI QIDQ5715919zbMATH OpenOpenAlexFDO

Authors Rob Kaas, Qihe Tang

Publication date 5 January 2006

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2003.10596103

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• Large-Deviation Probabilities for Maxima of Sums of Independent Random Variables with Negative Mean and Subexponential Distribution
• Maxima of Sums of Heavy-Tailed Random Variables
• On the distribution of the maxima of partial sums
• Precise large deviations for the prospective-loss process
• Subexponentiality and infinite divisibility
• The class of subexponential distributions
• The maximum on a random time interval of a random walk with long-tailed increments and negative drift.

Cited in

(31)

• On the non-closure under convolution for strong subexponential distributions
• Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables
• The asymptotic behavior of the ruin probability within a random horizon
• A local limit theorem for random walk maxima with heavy tails
• Precise large deviations for dependent random variables with heavy tails
• Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities
• Random walk with heavy tail and negative drift conditioned by its minimum and final values
• An Asymptotic Result on Catastrophe Insurance Losses
• Tail asymptotics for the maximum of perturbed random walk
• A note on asymptotic behavior for negative drift random walk with dependent heavy-tailed steps and its application to risk theory
• Uniform estimates for the finite-time ruin probability in the dependent renewal risk model
• A note on Veraverbeke's theorem
• A property of the renewal counting process with application to the finite-time ruin probability
• On the ruin probabilities of a bidimensional perturbed risk model
• Finite-horizon ruin probability asymptotics in the compound discrete-time risk model
• The critical case of the Cramer-Lundberg theorem on the asymptotic tail behavior of the maximum of a negative drift random walk
• scientific article; zbMATH DE number 2039008 (Why is no real title available?)
• Tail expansions for the distribution of the maximum of a random walk with negative drift and regularly varying increments
• The finite-time ruin probability for an inhomogeneous renewal risk model
• On the random max-closure for heavy-tailed random variables
• Random convolution of inhomogeneous distributions with \(\mathcal {O} \)-exponential tail
• Finite horizon ruin probabilities for random walks with heavy tailed increments
• A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model
• Asymptotic behaviour of the finite-time ruin probability in renewal risk models
• The maximum on a random time interval of a random walk with long-tailed increments and negative drift.
• Uniform asymptotic behavior of tail probability of maxima in a time-dependent renewal risk model
• Tail probability of the supremum of a random walk with stable steps and a nonlinear negative drift
• Maxima of sums and random sums for negatively associated random variables with heavy tails
• UNIFORM ESTIMATES FOR THE TAIL PROBABILITY OF MAXIMA OVER FINITE HORIZONS WITH SUBEXPONENTIAL TAILS
• Upper bounds for the maximum of a random walk with negative drift
• Randomly stopped maximum and maximum of sums with consistently varying distributions

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