Some asymptotic results for transient random walks with applications to insurance risk
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 th...
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| Veröffentlicht in: | Journal of applied probability 2001-03, Vol.38 (1), p.108-121 |
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| Format: | Artikel |
| Sprache: | eng |
| Online-Zugang: | Volltext |
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