Random walks with non-convolution equivalent increments and their applications

DOI10.1016/j.jmaa.2010.08.040zbMath1214.60016OpenAlexW1986594018MaRDI QIDQ601305

Yue-bao Wang, Kai Yong Wang

Publication date: 4 November 2010

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2010.08.040

zbMATH Keywords

random walkovershootrenewal risk modelinfinitely divisible lawsupremum

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Sums of independent random variables; random walks (60G50) Probability distributions: general theory (60E05)

Related Items (11)

Some discussions on the local distribution classes ⋮ Estimates for the overshoot of a random walk with negative drift and non-convolution equivalent increments ⋮ Uniform asymptotics of the finite-time ruin probability for all times ⋮ The local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summands ⋮ Some properties of the exponential distribution class with applications to risk theory ⋮ Tail behavior of supremum of a random walk when Cramér's condition fails ⋮ The uniform local asymptotics for a Lévy process and its overshoot and undershoot ⋮ On the strong convergence of weighted sums of widely dependent random variables ⋮ On the almost decrease of a subexponential density ⋮ Embrechts-Goldie's problem on the class of lattice convolution equivalent distributions ⋮ On a transformation between distributions obeying the principle of a single big jump

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