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The supremum of random walk with negatively associated and heavy-tailed steps

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  • Wang, Dingcheng
  • Chen, Pingyan
  • Su, Chun

Abstract

This paper obtains the Embrechts-Veraverbeke asymptotic formula for the random walk with dependent steps, where the steps constitute a sequence of negatively associated random variables with a common heavy-tailed distribution such that its left tail is lighter than its right tail.

Suggested Citation

  • Wang, Dingcheng & Chen, Pingyan & Su, Chun, 2007. "The supremum of random walk with negatively associated and heavy-tailed steps," Statistics & Probability Letters, Elsevier, vol. 77(13), pages 1403-1412, July.
    • Handle: RePEc:eee:stapro:v:77:y:2007:i:13:p:1403-1412
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    References listed on IDEAS

    as
    1. Tang, Qihe & Tsitsiashvili, Gurami, 2003. "Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks," Stochastic Processes and their Applications, Elsevier, vol. 108(2), pages 299-325, December.
    2. Embrechts, P. & Veraverbeke, N., 1982. "Estimates for the probability of ruin with special emphasis on the possibility of large claims," Insurance: Mathematics and Economics, Elsevier, vol. 1(1), pages 55-72, January.
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