On Subexponential Tails for the Suprema of Negatively Driven L‘evy Processes
报告题目：On Subexponential Tails for the Suprema of Negatively Driven L‘evy Processes
报告人：Prof. Korshunov Dmitry（Lancaster University）
报告时间：2016年6月1日（周三）10:20-11:20
报告地点：数学楼三楼306
报告摘要：We study tail properties of the distribution of the supremum within finite time horizon of L‘evy process with negative drift and heavy-tailed jumps. The tail asymptotics obtained are uniform in time horizon. We show what is similar to the case of a random walk and discuss differences. Also we study similar problem for the compound renewal process and specify these results for the compound Poisson process. Applications are given to the Cram‘er-Lundberg risk model.