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Mikael Petersson: Asymptotic Expansions for Perturbed Discrete Time Renewal Equations

Time: Wed 2013-11-20 15.15

Location: The Cramér room (room 306), building 6, Kräftriket, Department of mathematics, Stockholm university

Subject area: Mathematical statistics

Doctoral student: Mikael Petersson

Opponent: Henrik Hult, KTH

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In this thesis we study the asymptotic behaviour of the solution of a discrete time renewal equation depending on a small perturbation parameter. In particular, we construct asymptotic expansions for the solution of the renewal equation and related quantities. The results are applied to studies of quasi-stationary phenomena for regenerative processes and asymptotics of ruin probabilities for a discrete time analogue of the Cramér-Lundberg risk model.