by Christoph, G..

**Series:** 2004-15, Preprints

- MSC:
- 60F05 Central limit and other weak theorems
- 60F10 Large deviations
- 60G50 Sums of independent random variables; random walks
- 60E07 Infinitely divisible distributions; stable distributions

**Abstract:**

Consider a compound sum of independent and identical distributed positive random variables with common

regularly varying distribution function $F$ and an

integer-valued counting variable $\nu$ which is independent of the summands. Compound sums occur in various models in

reliability, risk theory and branching with many applications.

Consider the quotient of the distribution function of such a compound sum and the distribution function $F$

of one term.

Embrechts and Veraverbeke (1982) proved that the quotient tends to the expectation of the counting variable

as the argument $x$ tends to infinity, while Mikosch and Nagaev (2001) showed that the rate of convergence is $O(1/x)$

if $F$ satisfies some smoothness conditions.

Using non-uniform estimates with stable limit laws by Christoph and Wolf (1993), in the present paper exact rates of

convergence and the first term in asymptotic expansions are given. Examples demonstrate the results.

**Keywords:**

Regularly varying tails, random sums, convergence rates, asymptotic expansions, stable distributions

**This paper was published in:**

V. Antonov, C. Huber,