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

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  • Rob Kaas
  • Qihe Tang

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).

Suggested Citation

  • Rob Kaas & Qihe Tang, 2003. "Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift," North American Actuarial Journal, Taylor & Francis Journals, vol. 7(3), pages 57-61.
    • Handle: RePEc:taf:uaajxx:v:7:y:2003:i:3:p:57-61
    DOI: 10.1080/10920277.2003.10596103
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    Cited by:

    1. Wang, Dingcheng & Tang, Qihe, 2004. "Maxima of sums and random sums for negatively associated random variables with heavy tails," Statistics & Probability Letters, Elsevier, vol. 68(3), pages 287-295, July.
    2. Liu, Li, 2009. "Precise large deviations for dependent random variables with heavy tails," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1290-1298, May.
    3. Li, Junhai & Liu, Zaiming & Tang, Qihe, 2007. "On the ruin probabilities of a bidimensional perturbed risk model," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 185-195, July.
    4. Remigijus Leipus & Jonas Šiaulys, 2009. "Asymptotic behaviour of the finite‐time ruin probability in renewal risk models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(3), pages 309-321, May.

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