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TAIL EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM OF A RANDOM WALK WITH NEGATIVE DRIFT AND REGULARLY VARYING INCREMENTS Ph
| Content Provider | Semantic Scholar |
|---|---|
| Author | Barbe Mccormick, W. P. Zhang, Chi |
| Copyright Year | 2006 |
| Abstract | Ph. Barbe, W.P. McCormick and C. Zhang CNRS, France, and University of Georgia Abstra t. Let F be a distribution function with negative mean and regularly varying right tail. Under a mild smoothness condition we derive higher order asymptotic expansions for the tail distribution of the maxima of the random walk generated by F. An application to ruin probabilities is developed. AMS 2000 Subje t Classi ations: Primary: 60G50. Secondary: 60F99, 90B22, 91B30, 62P05. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://arxiv.org/pdf/math/0604377v1.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
