Author:
Palmowski Zbigniew,Zwart Bert
Abstract
We give precise asymptotic estimates of the tail behavior of the distribution of the supremum of a process with regenerative increments. Our results cover four qualitatively different regimes involving both light tails and heavy tails, and are illustrated with examples arising in queueing theory and insurance risk.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
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