Bounds on the tails of convolutions of compound distributions

DOI10.1016/0167-6687(95)00024-0MaRDI QIDQ1921980zbMATH OpenOpenAlexWikidataFDO

Authors Xiaodong Lin, Gordon E. Willmot

Publication date 7 January 1997

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

Full work available at URL https://doi.org/10.1016/0167-6687(95)00024-0

zbMATH Keywords

\(M/G/c\) queueboundscompound distributioncompound Poisson claims processesconvolutiondiffusionequilibrium waiting time distributionruin probabilitiestail probabilities

Mathematics Subject Classification ID

Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
• Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
• Generalizations of the Pollaczek-Khinchin integral equation in the theory of queues
• scientific article; zbMATH DE number 3860152 (Why is no real title available?)
• scientific article; zbMATH DE number 3591262 (Why is no real title available?)
• scientific article; zbMATH DE number 3364606 (Why is no real title available?)
• Lundberg bounds on the tails of compound distributions
• Refinements and distributional generalizations of Lundberg's inequality
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Tail of compound distributions and excess time
• Utilization of Idle Time in an M/G/1 Queueing System

Cited in

(17)

• On the relationship between bounds on the tails of compound distributions
• Bounds for compound distributions based on mean residual lifetimes and equilibrium distributions
• Tails of waiting times and their bounds
• A note on the convexity of ruin probabilities
• scientific article; zbMATH DE number 4013824 (Why is no real title available?)
• scientific article; zbMATH DE number 3978235 (Why is no real title available?)
• Bounds for the Tails of Sharp-Cutoff Filter Kernels
• Lundberg bounds on the tails of compound distributions
• Simplified bounds on the tails of compound distributions
• Upper bounds for the tail of the compound negative binomial distribution
• On the complete monotonicity of the compound geometric convolution with applications in risk theory
• On applications of residual lifetimes of compound geometric convolutions
• On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
• Tail of compound distributions and excess time
• A unified approach to the study of tail probabilities of compound distributions
• Improved bounds on tails of convolutions of compound distributions: application to ruin probabilities for the risk process perturbed by diffusion
• Lower limits and equivalences for convolution tails

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