On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes

DOI10.1016/j.spa.2017.07.013zbMath1390.60110arXiv1608.09004OpenAlexW2963929395MaRDI QIDQ1743344

Dmitrii Korshunov

Publication date: 13 April 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.09004

zbMATH Keywords

subexponential distributionsheavy tailsrandom walkLévy processcompound renewal processlong-tailed distributionsdistribution tails

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Large deviations (60F10) Renewal theory (60K05)

Related Items (3)

Second order asymptotics for infinite-time ruin probability in a compound renewal risk model ⋮ Boundary crossing problems for compound renewal processes ⋮ Two-dimensional ruin probability for subexponential claim size

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