Uniform asymptotic behavior of tail probability of maxima in a time-dependent renewal risk model

Fotios Loukissas

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 24, 6112-6120

Abstract: In this article, we investigate the uniform asymptotic behavior for the tail probability of maxima of a random walk {Sn,n≥0} with S0=0 and negative drift. We establish the tail probability in the frame of a time-dependent renewal risk model. In this model, we assume that the claim sizes and inter-arrival times correspondingly form a sequence of independent and identically distributed random pairs. Furthermore, we suppose the tail probability distribution belongs to the strongly subexponential class.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:49:y:2020:i:24:p:6112-6120

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DOI: 10.1080/03610926.2019.1626429

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