A Lundberg-type inequality for an inhomogeneous renewal risk model
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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.
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Cites work
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Cited in
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- The Gerber-Shiu discounted penalty function for the bi-seasonal discrete time risk model
- Lundberg inequality for a sort of risk process
- Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk
- The risk model with stochastic premiums, dependence and a threshold dividend strategy
- Some inequalities for the risk function in the time and space nonhomogeneous Cramér-Lundberg risk model
- scientific article; zbMATH DE number 2165829 (Why is no real title available?)
- Exponential moments of simultaneous hitting time for non-atomic Markov chains
- Exponential bounds of ruin probabilities for non-homogeneous risk models
- The finite-time ruin probability for an inhomogeneous renewal risk model
- Continuity inequalities for multidimensional renewal risk models
- Lundberg-type inequalities for non-homogeneous risk models
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