Bounds for compound distributions based on mean residual lifetimes and equilibrium distributions

DOI10.1016/S0167-6687(97)00016-4MaRDI QIDQ1381471zbMATH OpenOpenAlexFDO

Authors Gordon E. Willmot

Publication date 8 November 1999

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-6687(97)00016-4

zbMATH Keywords

failure ratesLundberg boundmean residual lifetimeruin theorys-equilibrium distribution

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Review text

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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Cites work

• A probabilistic generalization of Taylor's theorem
• Correction note to ``On the preservation of some orderings of risks under convolution
• scientific article; zbMATH DE number 4076401 (Why is no real title available?)
• scientific article; zbMATH DE number 41804 (Why is no real title available?)
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• scientific article; zbMATH DE number 502871 (Why is no real title available?)
• Inequalities for NBUE and NWUE Life Distributions
• Lundberg bounds on the tails of compound distributions
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• Properties of moments for s-order equilibrium distributions
• Refinements and distributional generalizations of Lundberg's inequality
• Simplified bounds on the tails of compound distributions
• Tail of compound distributions and excess time

Cited in

(11)

• Bounds on compound distributions and stop-loss premiums
• Refinements and distributional generalizations of Lundberg's inequality
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• On the expectations of the present values of the time of ruin perturbed by diffusion.
• Analysis of a defective renewal equation arising in ruin theory
• ROLE OF EQUILIBRIUM DISTRIBUTION IN RELIABILITY STUDIES
• scientific article; zbMATH DE number 3978235 (Why is no real title available?)
• Bounds of claim distributions in open individual risk models
• Two-sided bounds for renewal equations and ruin quantities
• On defective renewal equations and compound geometric distributions, with applications in ruin theory
• Generalized equilibrium distributions

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