A note on asymptotic behavior for negative drift random walk with dependent heavy-tailed steps and its application to risk theory

DOI10.1016/S0252-9602(07)60002-2zbMath1125.60085OpenAlexW1996038756MaRDI QIDQ2463944

Chun Su, Ding Cheng Wang

Publication date: 7 December 2007

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0252-9602(07)60002-2

zbMATH Keywords

heavy tailultimate ruin probabilitydependent stepnegative drift random walktail balance condition

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60)

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