Simplified bounds on the tails of compound distributions

Journal of Applied Probability

Volumn 34, Issue 1, 1997, Pages 127-133

  Willmot, G E ^a   Lin, Xiaodong ^b  

^a UNIVERSITY OF WATERLOO   (Canada)

^b UNIVERSITY OF TORONTO   (Canada)

Author keywords

Failure rate; Lundberg inequality; Ruin probability

Indexed keywords

FAILURE (MECHANICAL); FUNCTIONS; MATHEMATICAL MODELS; RANDOM PROCESSES;

COMPOUND DISTRIBUTION; LUNDBERG INEQUALITY; TAIL PROBABILITY;

PROBABILITY DISTRIBUTIONS;

EID: 0031082720     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0021900200100762     Document Type: Article

References (4)

1. BARLOW, R. AND PROSCHAN, F. (1975) Statistical Theory of Reliability and Life Testing: Probability Models. Holt, Rinehart and Winston, New York.
2. LIN, X. (1996) Tail of compound distributions and excess time. J. Appl. Prob. 33, 184-195.
3. WILLMOT, G. (1994) Refinements and distributional generalizations of Lundberg's inequality. Insurance: Math. Econ. 15, 49-63.
4. WILLMOT, G. AND LIN, X. (1994) Lundberg bounds on the tails of compound distributions. J. Appl. Prob. 31, 743-756.