The closure property of 2RV under random sum (Q2251702): Difference between revisions

Let \(X_i\), \(i\in\mathbb N\), be a sequence of independent and identically distributed nonnegative random variables with a common distribution function \(F\), and let \(N\) be a nonnegative integer-valued random variable which is independent of \(X_i\), \(i\in\mathbb N\), and satisfies \(\operatorname{E}((1+\varepsilon)^N)<\infty\) for some \(\varepsilon > 0\). It is shown that the survival function of the random sum \(\sum_{i=1}^N X_i\) preserves the second-order regular variation property, whenever the underlying survival function \(1-F\) is regularly varying of second order. Applications to the Cramér-Lundberg model and the age-dependent branching process are added.