Skip to main content Accessibility help

We use cookies to distinguish you from other users and to provide you with a better experience on our websites. Close this message to accept cookies or find out how to manage your cookie settings.

Login Alert

Cancel

Log in

×

Register

Log In

(0) Cart

Back to search results

Home
Search

Search Results

Refine search

Access:

Only show content I have access to (0)

Content type:

Articles (2)

Author:

Publication date:

Over 3 years (2)

From year:

To year:

Apply From and To filters

Subject: Show more

Mathematics (2)

Statistics and Probability (2)

Actions for selected content:

Select all | Deselect all

View selected items
Save to my bookmarks
Export citations
Download PDF (zip)
Save to Kindle
Save to Dropbox
Save to Google Drive
Save content to
To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to .

To save content items to your Kindle, first ensure [email protected] is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your Amazon account. Then enter the ‘name’ part of your Kindle email address below. Find out more about saving to your Kindle.

Note you can select to save to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be saved to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply.

Find out more about the Kindle Personal Document Service.

Please be advised that item(s) you selected are not available.
You are about to save
Your Kindle email address

Please provide your Kindle email.

@free.kindle.com @kindle.com (service fees apply)

By using this service, you agree that you will only keep content for personal use, and will not openly distribute them via Dropbox, Google Drive or other file sharing services

Save Search

You can save your searches here and later view and run them again in "My saved searches".

Search Title: required Please provide a title, maximum of 40 characters.

Cancel

×

2 results

Some asymptotic results for transient random walks with applications to insurance risk
Part of
Aleksandras Baltrūnas
Journal:

Journal of Applied Probability / Volume 38 / Issue 1 / March 2001

Published online by Cambridge University Press:

14 July 2016, pp. 108-121

Print publication:

March 2001
- Article
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation
We consider a real-valued random walk which drifts to -∞ and is such that the step distribution is heavy tailed, say, subexponential. We investigate the asymptotic tail behaviour of the distribution of the upwards first passage times. As an application, we obtain the exact rate of convergence for the ruin probability in finite time. Our result supplements similar theorems in risk theory.

Some asymptotic results for transient random walks
Part of
- Markov processes
J. Bertoin, R. A. Doney
Journal:

Advances in Applied Probability / Volume 28 / Issue 1 / March 1996

Published online by Cambridge University Press:

01 July 2016, pp. 207-226

Print publication:

March 1996
- Article
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation
We consider a real-valued random walk S which drifts to –∞ and is such that E(exp θS1) < ∞ for some θ > 0, but for which Cramér's condition fails. We investigate the asymptotic tail behaviour of the distributions of the all time maximum, the upwards and downwards first passage times and the last passage times. As an application, we obtain new limit theorems for certain conditional laws.

Recommend this

Email your librarian or administrator to recommend adding this to your organisation's collection.

Your name * Please enter your name

Your email address * Please enter a valid email address.

Who would you like to send this to *

Optional message

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.

×

Our Site

Accessibility
Contact & Help
Legal Notices

Our Platforms

Cambridge Core
Cambridge Open Engage
Cambridge Higher Education

Our Products

Journals
Books
Elements
Textbooks
Courseware

Join us online

Location

Please choose a valid location.

Rights & Permissions
Copyright
Privacy Notice
Terms of Use
Cookies Policy

Cambridge University Press 2024

Cancel

Confirm

×

Search Results

Refine search

Refine search

Actions for selected content:

Save Search

2 results

Some asymptotic results for transient random walks with applications to insurance risk

Some asymptotic results for transient random walks