Work

Infinite-horizon Fuk–Nagaev inequalities

Year: 2025

Type: article

Abstract: We develop explicit bounds for the tail of the distribution of the all-time supremum of a random walk with negative drift, where the increments have a truncated heavy-tailed distribution. As an application, we consider a ruin problem in the presence of reinsurance.

Source: Journal of Applied Probability

DOI: 10.1017/jpr.2025.6

Authors: A. J. E. M. Janssen, B. Zwart

Institutions: Eindhoven University of Technology, Centrum Wiskunde & Informatica

Language: English

Topic: Probability and Risk Models

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W4411328281

FWCI:

Cites: 17

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Related to: 10