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arXiv · 2403.03524

Infinite-horizon Fuk-Nagaev inequalities

A. J. E. M. Janssen·B. Zwart
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Abstract

We develop explicit bounds for the tail of the distribution for 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 re-insurance.

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A. J. E. M. Janssen, B. Zwart. 2024-03-06. Infinite-horizon Fuk-Nagaev inequalities. https://arxiv.org/abs/2403.03524

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