Lundberg bounds on the tails of compound distributions

DOI10.2307/3215152zbMath0812.60084OpenAlexW4236393912MaRDI QIDQ4322026

Xiaodong Lin, Gordon E. Willmot

Publication date: 20 March 1995

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3215152

zbMATH Keywords

\(M/G/1\) queuefailure rateexponential boundscompletely monotoneinsurance riskmixed Poissonlog-convexmean residual lifetimecompound geometriclog- concave

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22)

Related Items (12)

Non-exponential Bounds for Ruin Probability with Interest Effect Included ⋮ Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist ⋮ Refinements and distributional generalizations of Lundberg's inequality ⋮ Some improvements on the Lundberg bound for the ruin probability ⋮ Bounds on the tails of convolutions of compound distributions ⋮ Bounds for compound distributions based on mean residual lifetimes and equilibrium distributions ⋮ Aging and other distributional properties of discrete compound geometric distributions ⋮ An adaptive premium policy with a Bayesian motivation in the classical risk model ⋮ Nonparametric statistical analysis of an upper bound of the ruin probability under large claims ⋮ Upper bounds for the tail of the compound negative binomial distribution ⋮ Bounds for Ruin Probabilities in the Presence of Large Claims and their Comparison ⋮ Aging properties and bounds for ruin probabilities and stop-loss premiums

This page was built for publication: Lundberg bounds on the tails of compound distributions