A local limit theorem for random walk maxima with heavy tails
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References listed on IDEAS
- Kalashnikov, Vladimir & Konstantinides, Dimitrios, 2000. "Ruin under interest force and subexponential claims: a simple treatment," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 145-149, August.
- 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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- Wang, Yuebao & Yang, Yang & Wang, Kaiyong & Cheng, Dongya, 2007. "Some new equivalent conditions on asymptotics and local asymptotics for random sums and their applications," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 256-266, March.
- repec:spr:stpapr:v:59:y:2018:i:1:d:10.1007_s00362-016-0754-y is not listed on IDEAS
- Gao, Qingwu & Wang, Yuebao, 2009. "Ruin probability and local ruin probability in the random multi-delayed renewal risk model," Statistics & Probability Letters, Elsevier, vol. 79(5), pages 588-596, March.
- Hansen, Niels Richard & Jensen, Anders Tolver, 2005. "The extremal behaviour over regenerative cycles for Markov additive processes with heavy tails," Stochastic Processes and their Applications, Elsevier, vol. 115(4), pages 579-591, April.
- Geluk, J.L. & Frenk, J.B.G., 2011. "Renewal theory for random variables with a heavy tailed distribution and finite variance," Statistics & Probability Letters, Elsevier, vol. 81(1), pages 77-82, January.
- Barbe, Ph. & McCormick, W.P. & Zhang, C., 2007. "Tail expansions for the distribution of the maximum of a random walk with negative drift and regularly varying increments," Stochastic Processes and their Applications, Elsevier, vol. 117(12), pages 1835-1847, December.
More about this item
KeywordsIntegrated tail Ladder height Subexponential distribution;
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