Abstract
We consider a real-valued random walk which drifts to -∞ and is such that the step distribution is heavy tailed, say, subexponential. We investigate the asymptotic tail behaviour of the distribution of the upwards first passage times. As an application, we obtain the exact rate of convergence for the ruin probability in finite time. Our result supplements similar theorems in risk theory.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Reference13 articles.
1. Estimation of ruin probabilities by means of hazard rates;Klüppelberg;Insurance: Math. Econ.,1989
2. Sampling at subexponential times, with queueing applications
3. On a property of sums of independent random variables;Nagaev;Theory Prob. Appl.,1977
4. Functions of probability measures
5. On the asymptotics of one-sided large deviation probabilities
Cited by
6 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献