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The tail behaviour of a random sum of subexponential random variables and vectors

Daley, Daryl; Omey, Edward; Vesilo, Rein

Description

Let {X, Xi,i=1,2,...} denote independent positive random variables having common distribution function (d.f.) F(x) and, independent of X, let ν denote an integer valued random variable. Using X 0=0, the random sum Z=∑ i=0ν X i has d.f. G(x)=∑n=0∞P

CollectionsANU Research Publications
Date published: 2007
Type: Journal article
URI: http://hdl.handle.net/1885/34153
Source: Extremes
DOI: 10.1007/s10687-007-0033-3

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