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

DOI10.1080/10920277.2003.10596103zbMath1084.60515OpenAlexW2044569414MaRDI QIDQ5715919

Rob Kaas, Qi-he 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)

Related Items (18)

The finite-time ruin probability for an inhomogeneous renewal risk model ⋮ On the non-closure under convolution for strong subexponential distributions ⋮ Random convolution of inhomogeneous distributions with \(\mathcal {O} \)-exponential tail ⋮ Uniform asymptotic behavior of tail probability of maxima in a time-dependent renewal risk model ⋮ On the random max-closure for heavy-tailed random variables ⋮ Finite-horizon ruin probability asymptotics in the compound discrete-time risk model ⋮ Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities ⋮ Randomly stopped maximum and maximum of sums with consistently varying distributions ⋮ Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables ⋮ Uniform estimates for the finite-time ruin probability in the dependent renewal risk model ⋮ The asymptotic behavior of the ruin probability within a random horizon ⋮ Maxima of sums and random sums for negatively associated random variables with heavy tails ⋮ On the ruin probabilities of a bidimensional perturbed risk model ⋮ Asymptotic behaviour of the finite-time ruin probability in renewal risk models ⋮ Precise large deviations for dependent random variables with heavy tails ⋮ UNIFORM ESTIMATES FOR THE TAIL PROBABILITY OF MAXIMA OVER FINITE HORIZONS WITH SUBEXPONENTIAL TAILS ⋮ A property of the renewal counting process with application to the finite-time ruin probability ⋮ A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model

Cites Work

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• The class of subexponential distributions
• The maximum on a random time interval of a random walk with long-tailed increments and negative drift.
• On the distribution of the maxima of partial sums
• Large-Deviation Probabilities for Maxima of Sums of Independent Random Variables with Negative Mean and Subexponential Distribution
• Subexponentiality and infinite divisibility
• Precise large deviations for the prospective-loss process
• Maxima of Sums of Heavy-Tailed Random Variables

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