A Lundberg-type inequality for an inhomogeneous renewal risk model

DOI10.15559/15-VMSTA30zbMATH Open1414.91157arXiv1508.02853MaRDI QIDQ340773FDOQ340773

Ieva Marija Andrulytė, Emilija Bernackaitė, Dominyka Kievinaitė, Jonas Šiaulys

Publication date: 15 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Abstract: We obtain a Lundberg-type inequality in the case of an inhomogeneous renewal risk model. We consider the model with independent, but not necessarily identically distributed, claim sizes and the interoccurrence times. In order to prove the main theorem, we first formulate and prove an auxiliary lemma on large values of a sum of random variables asymptotically drifted in the negative direction.

Full work available at URL: https://arxiv.org/abs/1508.02853

zbMATH Keywords

ruin probabilityexponential boundinhomogeneous modelLundberg-type inequalityrenewal model

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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