Tail expansions for the distribution of the maximum of a random walk with negative drift and regularly varying increments

DOI10.1016/j.spa.2007.03.004zbMath1129.60041arXivmath/0604377OpenAlexW2014132775MaRDI QIDQ2464850

Philippe Barbe, William P. McCormick, Chenhua Zhang

Publication date: 17 December 2007

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

Full work available at URL: https://arxiv.org/abs/math/0604377

zbMATH Keywords

random walkruin probabilityregularly varyingtail expansionWiener-Hopf factor

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50) Queues and service in operations research (90B22) Limit theorems in probability theory (60F99)

Related Items (3)

Second-order asymptotics of ruin probabilities for semiexponential claims ⋮ Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims ⋮ Expansions for the distribution and the maximum from distributions with an asymptotically gamma tail when a trend is present

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