The overshoot of a random walk with negative drift

DOI10.1016/J.SPL.2006.06.005zbMATH Open1108.60042OpenAlexW2064306940MaRDI QIDQ871033FDOQ871033

Authors Qihe Tang

Publication date 15 March 2007

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2006.06.005

zbMATH Keywords

asymptoticstail probabilitiesuniformityladder heightthe class \({\mathcal S}(\gamma)\)Wiener-Hopf type factorization

Mathematics Subject Classification ID

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

Recommendations

• Estimates for the overshoot of a random walk with negative drift and non-convolution equivalent increments
• The uniform asymptotics of the overshoot of a random walk with light-tailed increments
• Estimates for overshooting an arbitrary boundary by a random walk and their applications
• Some asymptotic results for transient random walks
• The Uniform Local Asymptotics of the Overshoot of a Random Walk with Heavy-Tailed Increments

Cites work

• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• A NOTE ON THE SEVERITY OF RUIN IN THE RENEWAL MODEL WITH CLAIMS OF DOMINATED VARIATION
• Asymptotic behaviour of Wiener-Hopf factors of a random walk
• Banach algebras of measures on the real line with a given asymptotics of distributions at infinity
• Convolution equivalence and infinite divisibility
• Inequalities for the overshoot
• Infinite divisibility and generalized subexponentiality
• Large deviations results for subexponential tails, with applications to insurance risk
• Moments for first-passage and last-exit times, the minimum, and related quantities for random walks with positive drift
• On convolution equivalence with applications
• On the constant in the definition of subexponential distributions
• Ruin probabilities and overshoots for general Lévy insurance risk processes
• Some discussions on the class \({\mathcal L} (\gamma)\)
• Subexponential distributions and characterizations of related classes

Cited in

(17)

• scientific article; zbMATH DE number 3879866 (Why is no real title available?)
• Random walks with non-convolution equivalent increments and their applications
• The uniform asymptotics of the overshoot of a random walk with light-tailed increments
• On the Maximum Exceedance of a Sequence of Random Variables Over a Renewal Threshold
• On asymptotics of deficit distribution and its moments at the time of ruin
• Stability of overshoots of zero mean random walks
• Asymptotic ruin probabilities of the Lévy insurance model under periodic taxation
• The uniform local asymptotics for a Lévy process and its overshoot and undershoot
• Asymptotics for the moments of the overshoot and undershoot of a random walk
• On a closure property of convolution equivalent class of distributions
• Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
• Estimates for the overshoot of a random walk with negative drift and non-convolution equivalent increments
• Largest excess of boundary crossings for martingales
• The Uniform Local Asymptotics of the Overshoot of a Random Walk with Heavy-Tailed Increments
• Convolution equivalence and distributions of random sums
• Randomly stopped minima and maxima with exponential-type distributions
• On overshoots and hitting times for random walks

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