On the relationship between bounds on the tails of compound distributions
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Publication:1381146
DOI10.1016/S0167-6687(96)00013-3zbMath0893.62106OpenAlexW2040851588WikidataQ127333082 ScholiaQ127333082MaRDI QIDQ1381146
Publication date: 29 April 1998
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(96)00013-3
upper boundsnew better than useddecreasing failure rateruin theoryincreasing failure ratenew worse than useddecreasing mean residual lifetimetails of compound distributions
Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Reliability and life testing (62N05)
Related Items
Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist, Nonparametric statistical analysis of an upper bound of the ruin probability under large claims, Non-exponential bounds for stop-loss premiums and ruin probabilities, 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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- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- On convolution tails
- Refinements and distributional generalizations of Lundberg's inequality
- Some improvements on the Lundberg bound for the ruin probability
- Simplified bounds on the tails of compound distributions
- Tail of compound distributions and excess time