Tails of random sums of a heavy-tailed number of light-tailed terms
نویسندگان
چکیده
منابع مشابه
Tails of random sums of a heavy - tailed number of light - tailed terms ⋆ Christian
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 ...
متن کاملTails of Random Sums of a Heavy-tailed Number of Light-tailed Terms
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 ...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2008
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2007.10.001