Bounds for compound distributions based on mean residual lifetimes and equilibrium distributions (Q1381471)
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scientific article; zbMATH DE number 1129622
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| English | Bounds for compound distributions based on mean residual lifetimes and equilibrium distributions |
scientific article; zbMATH DE number 1129622 |
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Bounds for compound distributions based on mean residual lifetimes and equilibrium distributions (English)
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8 November 1999
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The author establishes bounds for the right tail of the total claims distribution. Upper, lower and moment based Pareto bounds are obtained. Estimates are given in terms of the equilibrium distribution and the mean residual lifetime. Some generalizations with higher-order equilibrium distributions are given.
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Lundberg bound
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failure rates
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mean residual lifetime
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ruin theory
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s-equilibrium distribution
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0.839739203453064
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0.8363825678825378
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0.8102144002914429
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0.7999556064605713
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