A note on Veraverbeke's theorem

Stan Zachary

A note on Veraverbeke's theorem

Stan Zachary

Research output: Contribution to journal › Article › peer-review

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

Cite this

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KW - Ruin probability

KW - Subexponential distribution

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A note on Veraverbeke's theorem

Abstract

Keywords

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