Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift

Rob Kaas and Qihe Tang

North American Actuarial Journal, 2003, vol. 7, issue 3, 57-61

Abstract: This paper investigates the asymptotic tail behavior of maxima of a random walk with negative mean and heavy-tailed increment distribution. A simple proof is given to improve the related result in Ng et al. (2002).

Date: 2003
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DOI: 10.1080/10920277.2003.10596103

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