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Asymptotic results on the moments of the ratio of the random sum of squares to the square of the random sum

S. A. Ladoucette

math.PRarXiv:math/0505265

Abstract

Let \X1, X2, ...\ be a sequence of positive independent and identically distributed random variables of Pareto-type with index α>0 and let \N(t); t≥ 0\ be a mixed Poisson process independent of the Xi's. For t≥ 0, define TN(t):=X12 + X22 + ... + XN(t)2 (X1 + X2 + ... + XN(t))2 if N(t)≥ 1 and TN(t):=0 otherwise. We derive the limiting behavior of the k-th moment of TN(t), k∈N, by using the theory of functions of regular variation and an integral representation for E\TN(t)k\. We also point out the connection between TN(t) and the sample coefficient of variation which is a popular risk measure in practical applications.

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