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Activity Number:
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339
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Type:
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Contributed
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Date/Time:
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Tuesday, July 31, 2007 : 2:00 PM to 3:50 PM
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Sponsor:
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Section on Risk Analysis
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| Abstract - #309847 |
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Title:
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Tail Expansions for the Distribution of the Maxima of Random Walks with Negative Drift and Regularly Varying Increments
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Author(s):
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Chenhua Zhang*+ and Philippe Barbe and William P. McCormick
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Companies:
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University of Georgia and CNRS, France and University of Georgia
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Address:
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Department of Statistics, Athens, GA, 30602,
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Keywords:
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tail expansion ; random walk ; regularly variation ; Wiener-Hopf factor ; ruin probability
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Abstract:
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Let F be a distribution function with negative mean and regularly varying right tail. Under a mild smoothness condition we derive higher order asymptotic expansions for the tail distribution of the maxima of the random walk generated by F. The expansion is based on an expansion for the right Wiener-Hopf factor which we derive first. An application to ruin probability is developed.
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