Abstract
We study the asymptotics for the maximum on a random time interval of a random walk with a long-tailed distribution of its increments and negative drift. We extend to a general stopping time a result by Asmussen, simplify its proof and give some converses.
| Original language | English |
|---|---|
| Pages (from-to) | 37-53 |
| Number of pages | 17 |
| Journal | Annals of Applied Probability |
| Volume | 13 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - Jan 2003 |
Keywords
- Long-tailed distribution
- Ruin probability
- Subexponential distribution
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