Lower limits for distribution tails of randomly stopped sums

D. E. Denisov; D. A. Korshunov; S. G. Foss

doi:10.1137/S0040585X97983328

Lower limits for distribution tails of randomly stopped sums

D. E. Denisov, D. A. Korshunov, S. G. Foss

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Abstract

We study lower limits for the ratio F*τ̄(x)/ F̄(x) of tail distributions, where F*τ is a distribution of a sum of a random size τ of independent identically distributed random variables having a common distribution F, and a random variable τ does not depend on the summands. © 2008 Society for Industrial and Applied Mathematics.

Original language	English
Pages (from-to)	690-699
Number of pages	9
Journal	Theory of Probability and Its Applications
Volume	52
Issue number	4
DOIs	https://doi.org/10.1137/S0040585X97983328
Publication status	Published - 2008

Keywords

Convolution tail
Heavy-tailed and light-tailed distributions
Lower limit
Random sums of random variables

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AU - Denisov, D. E.

AU - Korshunov, D. A.

AU - Foss, S. G.

PY - 2008

Y1 - 2008

N2 - We study lower limits for the ratio F*τ̄(x)/ F̄(x) of tail distributions, where F*τ is a distribution of a sum of a random size τ of independent identically distributed random variables having a common distribution F, and a random variable τ does not depend on the summands. © 2008 Society for Industrial and Applied Mathematics.

AB - We study lower limits for the ratio F*τ̄(x)/ F̄(x) of tail distributions, where F*τ is a distribution of a sum of a random size τ of independent identically distributed random variables having a common distribution F, and a random variable τ does not depend on the summands. © 2008 Society for Industrial and Applied Mathematics.

KW - Convolution tail

KW - Heavy-tailed and light-tailed distributions

KW - Lower limit

KW - Random sums of random variables

U2 - 10.1137/S0040585X97983328

DO - 10.1137/S0040585X97983328

M3 - Article

SN - 1095-7219

VL - 52

SP - 690

EP - 699

JO - Theory of Probability and Its Applications

JF - Theory of Probability and Its Applications

IS - 4

ER -

Lower limits for distribution tails of randomly stopped sums

Abstract

Keywords

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