Infinite-horizon Fuk–Nagaev inequalities

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.

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Publication Details

Journal
Journal of Applied Probability
Published
2025-06-16
DOI
https://doi.org/10.1017/jpr.2025.6
Primary Topic
Point processes and geometric inequalities
Type
article
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article

Infinite-horizon Fuk–Nagaev inequalities

Bert Zwart, A. J. E. M. Janssen
Journal of Applied Probability
Point processes and geometric inequalities
article

Infinite-horizon Fuk–Nagaev inequalities

Bert Zwart, A. J. E. M. Janssen
article en

Abstract

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.

Journal of Applied ProbabilityVol. 62(3)
Eindhoven University of Technology (NL)
Openalex Percentile: Top 80%
Point processes and geometric inequalities
DOIOpen Access PDFOpenAlex
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Infinite-horizon Fuk–Nagaev inequalities — Bert Zwart, A. J. E. M. Janssen · Journal of Applied Probability (2025) | TGRS Research Map | TGRS