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

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. The expansion is based on an expansion for the right Wiener-Hopf factor which we derive first. An application to ruin probabilities is developed.
Year of publication:
2007
Authors: Barbe, Ph. ; McCormick, W.P. ; Zhang, C.
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 117.2007, 12, p. 1835-1847
Publisher: Elsevier
Keywords: Tail expansion Random walk Regularly varying Wiener-Hopf factor Ruin probability
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10008873849
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