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Random Sums of Random Variables and Vectors

Author

Listed:
  • Omey, Edward

    (Hogeschool-Universiteit Brussel (HUB), Belgium
    Katholieke Universiteit Leuven, Belgium)

  • Vesilo, R.

    (Macquarie University, Sydney, Australia)

Abstract

Let fX;Xi; i = 1; 2; :::g denote independent positive random variables having a common distribution function F(x) and, independent of X, let N denote an integer valued random variable. Using S(0) = 0 and S(n) = S(n ?? 1) + Xn, the random sum S(N) has distribution function G(x) = 1Xi=0 P(N = i)P(S(i) _ x) and tail distribution G(x) = 1 ?? G(x). In which case, we say that the distribution function G is subordinated to F with subordinator N. Under suitable conditions, it can be proved that G(x) s E(N)F(x) as x ! 1. In this paper, we extend some of the existing results. In the place of i.i.d. random variables, we use variables that are independent or variables that are asymptotically in- dependent. We also consider multivariate subordinated distribution functions.

Suggested Citation

  • Omey, Edward & Vesilo, R., 2009. "Random Sums of Random Variables and Vectors," Working Papers 2009/09, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    • Handle: RePEc:hub:wpecon:200909
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    References listed on IDEAS

    as
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    5. Omey, E. & Willekens, E., 1986. "Second order behaviour of the tail of a subordinated probability distribution," Stochastic Processes and their Applications, Elsevier, vol. 21(2), pages 339-353, February.
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