Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift |
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| Authors: | Rob Kaas Ph.D. Qihe Tang Ph.D. |
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| Affiliation: | 1. Actuarial Science, Faculty of Economics and Econometrics, Department of Quantitative Economics , University of Amsterdam , The Netherlands;2. Department of Quantitative Economics , University of Amsterdam , The Netherlands |
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| Abstract: | 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). |
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