Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 9-14 |
| Number of pages | 6 |
| Journal | Queueing Systems |
| Volume | 46 |
| Issue number | 1-2 |
| Publication status | Published - Jan 2004 |
Keywords
- Long-tailed distribution
- Ruin probability
- Subexponential distribution