On lower tail probabilities of positive random sums (Q2488452)

Sums of the form \(S=\sum_{k=1}^\infty a_k\xi_k\) are considered, where \(\xi_k\) are i.i.d. nonnegative with CDF \(F\) O-regularly varying in 0. The behavior of CDF \(F_S\) of \(S\) in 0 is investigated. E.g., it is shown that if \(S<\infty\), then (under some additional conditions) \(\forall x\in{\mathbb R}\) \[ {w(\varepsilon)f_S(\varepsilon-xw(\varepsilon)) \over{\mathbf P}\{S<\varepsilon\}}\to e^{-x}\,\text{ as }\, \varepsilon\downarrow 0, \] where \(f_S\) is the PDF of \(S\), \(1/w(\varepsilon)\) is the generalized inverse of \[ m(\lambda)=-\sum_{k=1}^\infty a_k\varphi_\xi'(a_k\lambda)/\varphi_\xi(a_k\lambda), \] \(\varphi_\xi\) being the Laplace transform for \(\xi\).