Tails of random sums of a heavy-tailed number of light-tailed terms (Q938036): Difference between revisions

The tail of the distribution of a sum \(S_N = \sum_{i=1}^N X_i\) of a random number \(N\) of independent and identically distributed nonnegative random variables \((X_i)_{i\in \mathbb{N}}\) depends on the tails of the number of the terms and the terms themselves. In this paper the authors approach the question when the tail asymptotics for the random sum enjoys the idential behaviour to \(N EX_1\) in the case when the tails of \(S_N\) is dominated by the one of \(N\). The condition they obtain can be generalized to either the case that \(N\) varies consistently or that that \(N\) lies in the domain of attraction of a Gumbel distribution with a mean excess function growing sufficiently fast to infinity. Moreover the excess function is not necessarily required to be independent of the claim sizes. A main field of application is collective risk models and related fields.