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Tail expansions for the distribution of the maximum of a random walk with negative drift and regularly varying increments
| Content Provider | Semantic Scholar |
|---|---|
| Author | Barbe, Ph . Mccormick, W. P. Zhang, C. |
| Copyright Year | 2006 |
| Abstract | 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. The expansion is based on an expansion for the right Wiener-Hopf factor which we derive first. An application to ruin probabilities is developed. |
| Starting Page | 1835 |
| Ending Page | 1847 |
| Page Count | 13 |
| File Format | PDF HTM / HTML |
| DOI | 10.1016/j.spa.2007.03.004 |
| Alternate Webpage(s) | https://arxiv.org/pdf/math/0604377v1.pdf |
| Alternate Webpage(s) | https://doi.org/10.1016/j.spa.2007.03.004 |
| Volume Number | 117 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
