On lower limits and equivalences for distribution tails of randomly stopped sums

For a distribution F*τ of a random sum Sτ=ξ1+⋯+ξτ of i.i.d. random variables with a common distribution F on the half-line [0, ∞), we study the limits of the ratios of tails as x→∞ (here, τ is a counting random variable which does not depend on {ξn}n≥1). We also consider applications of the results obtained to random walks, compound Poisson distributions, infinitely divisible laws, and subcritical branching processes.

[1]  Walter Rudin,et al.  Limits of Ratios of Tails of Measures , 1973 .

[2]  On the Constant in the Definition of Subexponential Distributions , 2000 .

[3]  Anthony G. Pakes Convolution equivalence and infinite divisibility , 2004, Journal of Applied Probability.

[4]  Daren B. H. Cline,et al.  Convolutions of Distributions With Exponential and Subexponential Tails , 1987, Journal of the Australian Mathematical Society. Series A. Pure Mathematics and Statistics.

[5]  S. Asmussen,et al.  Asymptotics for Sums of Random Variables with Local Subexponential Behaviour , 2003, 1303.4709.

[6]  William Feller,et al.  An Introduction to Probability Theory and Its Applications , 1967 .

[7]  Mikko Alava,et al.  Branching Processes , 2009, Encyclopedia of Complexity and Systems Science.

[8]  Aleksandr Alekseevich Borovkov,et al.  Stochastic processes in queueing theory , 1976 .

[9]  D. Korshunov On distribution tail of the maximum of a random walk , 1997 .

[10]  S. Foss,et al.  Lower limits for distributions of randomly stopped sums , 2007, 0711.4491.

[11]  P. A. P. Moran,et al.  An introduction to probability theory , 1968 .

[12]  Toshiro Watanabe,et al.  Infinite divisibility and generalized subexponentiality , 2005 .

[13]  Lower limits and equivalences for convolution tails , 2005, math/0510273.

[14]  J. Corcoran Modelling Extremal Events for Insurance and Finance , 2002 .

[15]  V. Kalashnikov,et al.  Geometric Sums: Bounds for Rare Events with Applications: Risk Analysis, Reliability, Queueing , 1997 .

[16]  P. Embrechts,et al.  Estimates for the probability of ruin with special emphasis on the possibility of large claims , 1982 .

[17]  Jozef L. Teugels,et al.  The class of subexponential distributions , 1975 .

[18]  K. Chung Review: William Feller, An Introduction to Probability Theory and its Applications 2 , 1973 .

[19]  Serguei Foss,et al.  Asymptotics of randomly stopped sums in the presence of heavy tails , 2008, 0808.3697.

[20]  P. Ney,et al.  Functions of probability measures , 1973 .

[21]  V. Chistyakov A Theorem on Sums of Independent Positive Random Variables and Its Applications to Branching Random Processes , 1964 .

[22]  Charles M. Goldie,et al.  On convolution tails , 1982 .

[23]  T. E. Harris,et al.  The Theory of Branching Processes. , 1963 .

[24]  Feller William,et al.  An Introduction To Probability Theory And Its Applications , 1950 .

[25]  P. Ney,et al.  Degeneracy Properties of Subcritical Branching Processes , 1973 .

[26]  Søren Asmussen,et al.  Ruin probabilities , 2001, Advanced series on statistical science and applied probability.

[27]  Charles M. Goldie,et al.  Subexponentiality and infinite divisibility , 1979 .

[28]  Lower limits for distribution tails of randomly stopped sums , 2008 .