Large deviations for heavy-tailed random sums in compound renewal model
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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.
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