The tail behaviour of a random sum of subexponential random variables and vectors
Date
2007
Authors
Daley, Daryl
Omey, Edward
Vesilo, Rein
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Kluwer Academic Publishers
Abstract
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
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Keywords: Bounds; Heavy tails; Monotonicity; O-regularly varying distribution; Regularly varying distribution; Stable distribution; Subexponential distribution
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2037-12-31
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