Tails of random sums of a heavy-tailed number of light-tailed terms
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Publication:938036
DOI10.1016/J.INSMATHECO.2007.10.001zbMATH Open1154.60032arXivmath/0703022OpenAlexW2272666797MaRDI QIDQ938036FDOQ938036
Authors: C. Y. Robert, Johan Segers 
Publication date: 18 August 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Abstract: The tail of the distribution of a sum of a random number of independent and identically distributed nonnegative random variables depends on the tails of the number of terms and of the terms themselves. This situation is of interest in the collective risk model, where the total claim size in a portfolio is the sum of a random number of claims. If the tail of the claim number is heavier than the tail of the claim sizes, then under certain conditions the tail of the total claim size does not change asymptotically if the individual claim sizes are replaced by their expectations. The conditions allow the claim number distribution to be of consistent variation or to be in the domain of attraction of a Gumbel distribution with a mean excess function that grows to infinity sufficiently fast. Moreover, the claim number is not necessarily required to be independent of the claim sizes.
Full work available at URL: https://arxiv.org/abs/math/0703022
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collective risk modelheavy-tailed distributionsrandom sumconsistent variationlight-tailed distributions
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