The closure property of 2RV under random sum

DOI10.1016/J.SPL.2014.05.023MaRDI QIDQ2251702zbMATH OpenOpenAlexFDO

Authors Xuan Leng, Taizhong Hu

Publication date 15 July 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2014.05.023

zbMATH Keywords

age-dependent branching processCramér-Lundberg modelrandom sumsecond-order regular variation

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Review text

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.

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Cited in

(3)

• On closure of the IFR(2) and NBU(2) classes
• Closure properties of the second-order regular variation under convolutions
• Second-order regular variation and second-order approximation of Hawkes processes

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