Infinite-horizon Fuk-Nagaev inequalities
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| Soggetti: | |
| Accesso online: | |
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| _version_ | 1866929265764728832 |
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| author | Janssen, A. J. E. M. Zwart, B. |
| author_facet | Janssen, A. J. E. M. Zwart, B. |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_03524 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Infinite-horizon Fuk-Nagaev inequalities Janssen, A. J. E. M. Zwart, B. Probability 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. |
| title | Infinite-horizon Fuk-Nagaev inequalities |
| topic | Probability |
| url | https://arxiv.org/abs/2403.03524 |