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arXiv · 1806.03827

Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk

Dominyka Kievinaitė·Jonas Šiaulys
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Abstract

Let $\{\xi_1,\xi_2,\ldots\}$ be a sequence of independent but not necessarily identically distributed random variables. In this paper, the sufficient conditions are found under which the tail probability $\mathbb{P}(\sup_{n\geqslant0}\sum_{i=1}^n\xi_i>x)$ can be bounded above by $\varrho_1\exp\{-\varrho_2x\}$ with some positive constants $\varrho_1$ and $\varrho_2$. A way to calculate these two constants is presented. The application of the derived bound is discussed and a Lundberg-type inequality is obtained for the ultimate ruin probability in the inhomogeneous renewal risk model satisfying the net profit condition on average.

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Dominyka Kievinaitė, Jonas Šiaulys. 2018-06-11. Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk. https://doi.org/10.15559/18-vmsta99

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