Large deviations for heavy-tailed random sums in compound renewal model (Q5930655): Difference between revisions

The object of interest is a doubly stochastic sum \(S_t = \sum_{i=1}^{N(t)} X_i\), where \(N(t)\) is a random variable with finite expectation \(\lambda(t)\), and \(\lambda(t)\) goes to infinity for \(t \to \infty\), and the random variables \(X_i\) are of extended regular variation. The authors determine the tail behaviour of this sum, and relax the assumptions of a theorem of Klüppelberg and Mikosch who considered the same question. Applications to compound renewal models are given.