Some improvements on the Lundberg bound for the ruin probability
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Publication:1380616
DOI10.1016/S0167-7152(96)00153-8zbMath0904.60068MaRDI QIDQ1380616
Publication date: 18 January 1999
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Applications of statistics to actuarial sciences and financial mathematics (62P05) Queueing theory (aspects of probability theory) (60K25) Applications of renewal theory (reliability, demand theory, etc.) (60K10)
Related Items
Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist, On the relationship between bounds on the tails of compound distributions, Nonparametric statistical analysis of an upper bound of the ruin probability under large claims, Approximation der Ruinwahrscheinlichkeit bei diskreter Zeit mittels eines Resultats von A. Wald, Refinements of two-sided bounds for renewal equations, Interval estimation of the ruin probability in the classical compound Poisson risk model, Aging properties and bounds for ruin probabilities and stop-loss premiums, Refinements of bounds for tails of compound distributions and ruin probabilities
Cites Work
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- Refinements and distributional generalizations of Lundberg's inequality
- Lundberg bounds on the tails of compound distributions
- An upper bound for the probability of ultimate ruin
- Simplified bounds on the tails of compound distributions
- Tail of compound distributions and excess time