A NOTE ON EXTREMES OF COMPOUND POISSON PROCESSES
Daniel Berend
Michael Braverman
Ilya Goldstein
Abstract: We investigate the conditions on a compound Poisson process
, under
which the right tail of
is equivalent to the tail of
. New examples for
which this relation does not hold are given.
2000 AMS Mathematics Subject Classification: Primary: 60E07, 60G10; Secondary:
60K30.
Keywords and phrases: Poisson processes, tails, extremes.