The supremuim of a negative drift random walk with dependent heavy-tailed steps

Many important probabilistic models in queuing theory, insurance and financ e deal with partial sums of a negative mean stationary process (a negative drift random walk), and the law of the supremum of such a process is used t o calculate, depending on the context, the ruin probability, the steady sta te distribution of the number of customers in the system or the value at ri sk. When the stationary process is heavy-tailed, the corresponding ruin pro babilities are high and the stationary distributions are heavy-tailed as we ll. If the steps of the random walk are independent, then the exact asympto tic behavior of such probability tails was described by Embrechts and Verav erbeke. We show that this asymptotic behavior may be different if the steps of the random walk are not independent, and the dependence affects the joi nt probability tails of the stationary process. Such type of dependence can be modeled, for example, by a linear process.