We give an elementary probabilistic proof of Veraverbeke's theorem for the asymptotic distribution of the maximum of a random walk with negative drift and heavy-tailed increments. The proof gives insight into the principle that the maximum is in general attained through a single large jump.
|Number of pages||6|
|Publication status||Published - Jan 2004|
- Long-tailed distribution
- Ruin probability
- Subexponential distribution