Some asymptotic results for transient random walks with applications to insurance risk

DOI10.1239/jap/996986647zbMath0983.60042OpenAlexW2132051267MaRDI QIDQ2731155

Aleksandras Baltrūnas

Publication date: 21 April 2002

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/996986647

zbMATH Keywords

asymptotic behaviorruin probabilityfirst passage timeheavy-tailed step distribution

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50) Queueing theory (aspects of probability theory) (60K25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (3)

The first passage time problem over a moving boundary for asymptotically stable Lévy processes ⋮ Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times ⋮ Exponential Behavior in the Presence of Dependence in Risk Theory

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