Precise large deviations of the first passage time

Abstract: Let

S_{n}

be partial sums of an i.i.d. sequence

X_{i}

. We assume that

m a t h b b E X_{1} < 0

and

m a t h b b P [X_{1} > 0] > 0

. In this paper we study the first passage time

au_u = inf{n:; S_n > u}.

The classical Cram'er's estimate of the ruin probability says that

mathbb{P}[ au_u<infty] sim C e^{-alpha_0 u}quad ext{as } u o infty,

for some parameter

a l p h a_{0}

. The aim of the paper is to describe precise large deviations of the first crossing by

S_{n}

a linear boundary, more precisely for a fixed parameter

h o

we study asymptotic behavior of

m a t h b b P l e f t [a u_{u} = l f l o o r u / h o f l o o r i g h t]

as

u

tends to infinity.

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