Simplified bounds on the tails of compound distributions

DOI10.2307/3215181MaRDI QIDQ4339254zbMATH OpenOpenAlexFDO

Authors Gordon E. Willmot, Xiaodong Lin

Publication date 2 March 1998

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

Full work available at URL https://doi.org/10.2307/3215181

zbMATH Keywords

compound distributionfailure rateLundberg inequalityruin probability

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Recommendations

• Tail of compound distributions and excess time
• On the relationship between bounds on the tails of compound distributions
• Bounds on the tails of convolutions of compound distributions
• Upper bounds for the tail of the compound negative binomial distribution

Cited in

(16)

• Pricing perpetual American catastrophe put options: A penalty function approach
• On the computation of the aggregate claim distribution when individual claims are inverse Gaussian
• Some improvements on the Lundberg bound for the ruin probability
• On the relationship between bounds on the tails of compound distributions
• Bounds for compound distributions based on mean residual lifetimes and equilibrium distributions
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Bounds on the tails of convolutions of compound distributions
• Analysis of a defective renewal equation arising in ruin theory
• Refinements of bounds for tails of compound distributions and ruin probabilities
• Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist
• Tail of compound distributions and excess time
• A unified approach to the study of tail probabilities of compound distributions
• Some estimates of geometric sums
• Nonparametric statistical analysis of an upper bound of the ruin probability under large claims
• Error bounds for exponential approximation of large-system reliability
• Tail bounds for the joint distribution of the surplus prior to and at ruin

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

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4339254)