Abstract
We investigate compound distributions - for example, compound mixed Poisson distributions - in the case where the summands, the mixing distribution or the number of summands are subexponential. It is shown that such a distribution is subexponential. As an illustration the tail of the maximum of a Björk-Grandell process is obtained.
Citation
Hanspeter Schmidli. "Compound sums and subexponentiality." Bernoulli 5 (6) 999 - 1012, dec 1999.
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