Randomly Stopped Sums, Minima and Maxima for Heavy-Tailed and Light-Tailed Distributions

Abstract

This paper investigates the randomly stopped sums, minima and maxima of heavy- and light-tailed random variables. The conditions on the primary random variables, which are independent but generally not identically distributed, and counting random variable are given in order that the randomly stopped sum, random minimum and maximum is heavy/light tailed. The results generalize some existing ones in the literature. The examples illustrating the results are provided.

Keywords

• heavy tail
• light tail
• randomly stopped sums
• randomly stopped minima
• randomly stopped maxima