A note on asymptotic behavior for negative drift random walk with dependent heavy-tailed steps and its application to risk theory期刊界 All Journals 搜尽天下杂志传播学术成果专业期刊搜索期刊信息化学术搜索

is a sequence of independent, identically distributed random variables with zero mean, μ > 0 is a constant and the coefficients

{φ_i;-∞<i<∞}

satisfy

Under the conditions that the distribution function of | var epsilon

| has dominated variation and var epsilon

satisfies certain tail balance conditions, the asymptotic behavior of

is discussed. Then the result is applied to ultimate ruin probability.

A note on asymptotic behavior for negative drift random walk with dependent heavy-tailed steps and its application to risk theory

Authors:	Dingcheng Wang Chun Su

Affiliation:	^aSchool of Applied Mathematics and School of Management, University of Electronic Science and Technology of China, Sichuan 610054, China;^bDepartment of Statistics and Finance, University of Science and Technology of China, Anhui 230026, China

Abstract:	In this article, the dependent steps of a negative drift random walk are modelled as a two-sided linear process where {,_n;-∞<n<+∞}

Keywords:	Dependent step heavy tail negative drift random walk tail balance condition ultimate ruin probability
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