Tail behaviour of random sums under consistent variation with applications to the compound renewal risk model
type: Item
instance of: scholarly article
title: Tail behaviour of random sums under consistent variation with applications to the compound renewal risk model
zbMATH Open document ID: 1164.60006
author: Remigijus Leipus
author: Jones Šiaulus
author: A. Aleškevičienė
published in: Extremes
publication date: 2009-02-28T00:00:00Z
review text: Let \(\xi_1\),\dots,\(\xi_n\),\dots be i.i.d. with cdf \(F_\xi\) and \(\eta\) be a nonnegative integer-valued r.v. independent of \(\xi_i\) with cdf \(F_\eta\), \(\bar F=1-F\). The authors show that as \(x\to\infty\) \[ {\mathbf P}(\xi_1+\dots+\xi_\eta>x)\sim{\mathbf P}(\eta>x\;| \;{\mathbf E}\xi) \] if \(\bar F_\xi(x)=o(\bar F_\eta(x))\) and \(F_\eta\) is a function with consistent variation, i.e., \[ \lim_{y\uparrow 1}\lim\sup_{x\to\infty}{\bar F_\eta(xy)\over \bar F(x)}=1. \] Some refinements of this statement and an application to the ruin probability evaluation in the compound renewal risk model are considered.
Mathematics Subject Classification ID: 60F05
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 5520601
zbMATH Keywords: ruin probability
zbMATH Keywords: regular variation
zbMATH Keywords: sum of random number of random variables
MaRDI profile type: Publication
full work available at URL: s10687-008-0057-3
OpenAlex ID: W1990949084
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DOI: 10.1007/S10687-008-0057-3
description: scientific article; zbMATH DE number 5520601