Hostname: page-component-586b7cd67f-t7czq Total loading time: 0 Render date: 2024-11-24T17:26:15.168Z Has data issue: false hasContentIssue false

Estimating tails of independently stopped random walks using concave approximations of hazard functions

Published online by Cambridge University Press:  16 September 2021

Jaakko Lehtomaa*
Affiliation:
University of Helsinki
*
*Postal address: Department of Mathematics and Statistics, PO Box 4 (Yliopistonkatu 3), 00014 University of Helsinki, Finland. Email address: [email protected]

Abstract

This paper considers logarithmic asymptotics of tails of randomly stopped sums. The stopping is assumed to be independent of the underlying random walk. First, finiteness of ordinary moments is revisited. Then the study is expanded to more general asymptotic analysis. Results are applicable to a large class of heavy-tailed random variables. The main result enables one to identify if the asymptotic behaviour of a stopped sum is dominated by its increments or the stopping variable. As a consequence, new sufficient conditions for the moment determinacy of compounded sums are obtained.

Type
Original Article
Copyright
© The Author(s), 2021. Published by Cambridge University Press on behalf of Applied Probability Trust

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Berg, C. (1995). Indeterminate moment problems and the theory of entire functions. J. Comput. Appl. Math. 65, 2755.CrossRefGoogle Scholar
Borovkov, A. A. (1976). Stochastic Processes in Queueing Theory (Appl. Math. 4). Springer, New York and Berlin.10.1007/978-1-4612-9866-3CrossRefGoogle Scholar
Denisov, D., Foss, S. and Korshunov, D. (2008). On lower limits and equivalences for distribution tails of randomly stopped sums. Bernoulli 14, 391404.CrossRefGoogle Scholar
Denisov, D., Foss, S. and Korshunov, D. (2010). Asymptotics of randomly stopped sums in the presence of heavy tails. Bernoulli 16, 971994.CrossRefGoogle Scholar
Denisov, D., Korshunov, D. and Foss, S. (2008). Lower limits for tails of distributions of randomly stopped sums. Theory Prob. Appl. 52, 690699.CrossRefGoogle Scholar
Erickson, K. B. and Maller, R. A. (2005). Drift to infinity and the strong law for subordinated random walks and Lévy processes. J. Theoret. Prob. 18, 359375.10.1007/s10959-005-3507-8CrossRefGoogle Scholar
Foss, S. and Korshunov, D. (2007). Lower limits and equivalences for convolution tails. Ann. Prob. 35, 366383.10.1214/009117906000000647CrossRefGoogle Scholar
Foss, S., Korshunov, D. and Zachary, S. (2013). An Introduction to Heavy-Tailed and Subexponential Distributions. Springer, New York.10.1007/978-1-4614-7101-1CrossRefGoogle Scholar
Gut, A. (2002). On the moment problem. Bernoulli 8, 407421.Google Scholar
Gut, A. (2009). Stopped Random Walks: Limit Theorems and Applications, 2nd edn (Springer Series in Operations Research and Financial Engineering). Springer, New York.Google Scholar
Gut, A. and Janson, S. (1986). Converse results for existence of moments and uniform integrability for stopped random walks. Ann. Prob. 14, 12961317.CrossRefGoogle Scholar
Kesten, H. and Maller, R. A. (1996). Two renewal theorems for general random walks tending to infinity. Prob. Theory Related Fields 106 138.CrossRefGoogle Scholar
Lehtomaa, J. (2015). Asymptotic behaviour of ruin probabilities in a general discrete risk model using moment indices. J. Theoret. Prob. 28, 13801405.CrossRefGoogle Scholar
Lehtomaa, J. (2017). Large deviations of means of heavy-tailed random variables with finite moments of all orders. J. Appl. Prob. 54, 6681.CrossRefGoogle Scholar
Lin, G. D. and Stoyanov, J. (2002). On the moment determinacy of the distributions of compound geometric sums. J. Appl. Prob. 39, 545554.CrossRefGoogle Scholar
Lin, G. D. and Stoyanov, J. (2009). The logarithmic skew-normal distributions are moment-indeterminate. J. Appl. Prob. 46, 909916.CrossRefGoogle Scholar
Nyrhinen, H. (2005). Power estimates for ruin probabilities. Adv. Appl. Prob. 37, 726742.10.1239/aap/1127483744CrossRefGoogle Scholar
Pakes, A. G. (2007). Structure of Stieltjes classes of moment-equivalent probability laws. J. Math. Anal. Appl. 326, 12681290.CrossRefGoogle Scholar
Robert, C. Y. and Segers, J. (2008). Tails of random sums of a heavy-tailed number of light-tailed terms. Insurance Math. Econom. 43, 8592.CrossRefGoogle Scholar
Schmidli, H. (1999). Compound sums and subexponentiality. Bernoulli 5, 9991012.10.2307/3318556CrossRefGoogle Scholar
Stoyanov, J. (2000). Krein condition in probabilistic moment problems. Bernoulli 6, 939949.CrossRefGoogle Scholar
Stoyanov, J. (2004). Stieltjes classes for moment-indeterminate probability distributions. J. Appl. Prob. 41A, 281294.CrossRefGoogle Scholar
Stoyanov, J. and Lin, G. D. (2013). Hardy’s condition in the moment problem for probability distributions. Theory Prob. Appl. 57, 699708.CrossRefGoogle Scholar