Infinite-horizon Fuk-Nagaev inequalities
Probability
2024-03-07 v1
Abstract
We develop explicit bounds for the tail of the distribution for the all-time supremum of a random walk with negative drift, where the increments have a truncated heavy-tailed distribution. As an application, we consider a ruin problem in the presence of re-insurance.
Keywords
Cite
@article{arxiv.2403.03524,
title = {Infinite-horizon Fuk-Nagaev inequalities},
author = {A. J. E. M. Janssen and B. Zwart},
journal= {arXiv preprint arXiv:2403.03524},
year = {2024}
}