Tail expansions for the distribution of the maximum of a random walk with negative drift and regularly varying increments

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dc.creatorBarbe, Ph .
dc.creatorMcCormick, W. P.
dc.creatorZhang, C.
dc.date2006-04-18
dc.date.accessioned2026-07-07T07:11:00Z
dc.date.available2026-07-07T07:11:00Z
dc.descriptionLet 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.
dc.description16 pages
dc.identifierhttps://arxiv.org/abs/math/0604377
dc.identifierhttp://arxiv.org/abs/math/0604377
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/111600
dc.subjectProbability
dc.subject60G50, 60F99, 90B22, 91B30, 62P05
dc.titleTail expansions for the distribution of the maximum of a random walk with negative drift and regularly varying increments
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