Asymptotic tail behavior of a random sum with conditionally dependent subexponential summands

Yanfang Zhang and Fengyang Cheng

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 12, 5888-5895

Abstract: In this paper, we obtain some results for the asymptotic behavior of the tail probability of a random sum Sτ = ∑τk = 1Xk, where the summands Xk, k = 1, 2, …, are conditionally dependent random variables with a common subexponential distribution F, and the random number τ is a non negative integer-valued random variable, independent of {Xk: k ⩾ 1}.

Date: 2017
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DOI: 10.1080/03610926.2015.1112916

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