Tail expansions for the distribution of the maximum of a random walk with negative drift and regularly varying increments
Probability
2007-05-23 v1
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. An application to ruin probabilities is developed.
Keywords
Cite
@article{arxiv.math/0604377,
title = {Tail expansions for the distribution of the maximum of a random walk with negative drift and regularly varying increments},
author = {Ph . Barbe and W. P. McCormick and C. Zhang},
journal= {arXiv preprint arXiv:math/0604377},
year = {2007}
}
Comments
16 pages