Subexponential asymptotics for stochastic processes : extremal behavior, stationary distributions and first passage probabilities
(1998) In Annals of Applied Probability 8(2). p.354-374- Abstract
- Consider a reflected random walk Wn+1 = (W-n +X-n)(+), where X-o, X-1,... are i.i.d. with negative mean and subexponential with common distribution F. It is shown that the probability that the maximum within a regenerative cycle with mean mu exceeds x is approximately mu (F) over bar(x) as x --> infinity, and thereby that max (W-o,..., W-n) has the same asymptotics as max(X-o,...,X-n) as n --> infinity. In particular, the extremal index is shown to be theta = 0, and the point process of exceedances of a large level is studied. The analysis extends to reflected Levy processes in continuous time, say, stable processes. Similar results are obtained for a storage process with release rate r(x) at level x and subexponential jumps (here... (More)
- Consider a reflected random walk Wn+1 = (W-n +X-n)(+), where X-o, X-1,... are i.i.d. with negative mean and subexponential with common distribution F. It is shown that the probability that the maximum within a regenerative cycle with mean mu exceeds x is approximately mu (F) over bar(x) as x --> infinity, and thereby that max (W-o,..., W-n) has the same asymptotics as max(X-o,...,X-n) as n --> infinity. In particular, the extremal index is shown to be theta = 0, and the point process of exceedances of a large level is studied. The analysis extends to reflected Levy processes in continuous time, say, stable processes. Similar results are obtained for a storage process with release rate r(x) at level x and subexponential jumps (here the extremal index may he any value in [0, infinity]); also the tail of the stationary distribution is found. For a risk process with premium rate r(x) at level x and subexponential claims, the asymptotic form of the infinite-horizon ruin probability is determined. It is also shown by example [r(x) = a + bx and claims with a tail which is either regularly varying, Weibull- or lognormal-like] that this leads to approximations for finite-horizon ruin probabilities. Typically, the conditional distribution of the ruin time given eventual ruin is asymptotically exponential when properly normalized. (Less)
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1273191
- author
- Asmussen, Sören LU
- organization
- publishing date
- 1998
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- cycle maximum, extremal index, extreme values, Frechet distribution, Gumbel distribution, interest force, level crossings, maximum domain of attraction, overshoot distribution, random walk, rare event, regular variation, ruin probability, stable process, storage process, subexponential distribution, RUIN, QUEUE
- in
- Annals of Applied Probability
- volume
- 8
- issue
- 2
- pages
- 354 - 374
- publisher
- Institute of Mathematical Statistics
- external identifiers
-
- scopus:0032221191
- ISSN
- 1050-5164
- language
- English
- LU publication?
- yes
- id
- 95bf0961-8299-435f-9fee-b453b80a55eb (old id 1273191)
- alternative location
- http://www.jstor.org/sici?sici=1050-5164(199805)8%3A2%3C354%3ASAFSPE%3E2.0.CO%3B2-C&origin=ISI
- date added to LUP
- 2016-04-04 09:25:04
- date last changed
- 2022-01-29 17:43:58
@article{95bf0961-8299-435f-9fee-b453b80a55eb,
abstract = {{Consider a reflected random walk Wn+1 = (W-n +X-n)(+), where X-o, X-1,... are i.i.d. with negative mean and subexponential with common distribution F. It is shown that the probability that the maximum within a regenerative cycle with mean mu exceeds x is approximately mu (F) over bar(x) as x --> infinity, and thereby that max (W-o,..., W-n) has the same asymptotics as max(X-o,...,X-n) as n --> infinity. In particular, the extremal index is shown to be theta = 0, and the point process of exceedances of a large level is studied. The analysis extends to reflected Levy processes in continuous time, say, stable processes. Similar results are obtained for a storage process with release rate r(x) at level x and subexponential jumps (here the extremal index may he any value in [0, infinity]); also the tail of the stationary distribution is found. For a risk process with premium rate r(x) at level x and subexponential claims, the asymptotic form of the infinite-horizon ruin probability is determined. It is also shown by example [r(x) = a + bx and claims with a tail which is either regularly varying, Weibull- or lognormal-like] that this leads to approximations for finite-horizon ruin probabilities. Typically, the conditional distribution of the ruin time given eventual ruin is asymptotically exponential when properly normalized.}},
author = {{Asmussen, Sören}},
issn = {{1050-5164}},
keywords = {{cycle maximum; extremal index; extreme values; Frechet distribution; Gumbel distribution; interest force; level crossings; maximum domain of attraction; overshoot distribution; random walk; rare event; regular variation; ruin probability; stable process; storage process; subexponential distribution; RUIN; QUEUE}},
language = {{eng}},
number = {{2}},
pages = {{354--374}},
publisher = {{Institute of Mathematical Statistics}},
series = {{Annals of Applied Probability}},
title = {{Subexponential asymptotics for stochastic processes : extremal behavior, stationary distributions and first passage probabilities}},
url = {{http://www.jstor.org/sici?sici=1050-5164(199805)8%3A2%3C354%3ASAFSPE%3E2.0.CO%3B2-C&origin=ISI}},
volume = {{8}},
year = {{1998}},
}