On the relationship between bounds on the tails of compound distributions

Insurance: Mathematics and Economics

Volumn 19, Issue 2, 1997, Pages 95-103

  Willmot, Gordon E ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Decreasing failure rate (DFR); Decreasing mean residual lifetime (DMRL); Increasing failure rate (IFR); New better than used (NBU); New worse than used (NWU)

Indexed keywords

EID: 0031115843     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(96)00013-3     Document Type: Article

References (9)

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3. Cai, J. and Y. Wu (1995). Some improvements on the Lundberg Bound for the Ruin Probability. University of Alberta Mathematical Sciences Statistics Centre, Technical Report No. 95.13.
4. Embrechts, P. and C. Goldie (1982). On convolution tails. Stochastic Processes and their Applications, 13, 263-278.
5. Embrechts, P. and N. Veraverbeke (1982). Estimates for the probability of ruin with special emphasis on the possibility of large claims. Insurance: Mathematics and Economics 1, 55-72.
6. Hogg, R. and S. Klugman (1984). Loss Distributions. Wiley, New York.
7. Lin, X. (1996). Tail of compound distributions and excess time. Journal of Applied Probability 33, 184-195.
8. Willmot, G. (1994). Refinements and distributional generalizations of Lundberg's inequality. Insurance: Mathematics and Economics 15, 49-63.
9. Willmot, G. and X. Lin (1997). Simplified bounds on the tails of compound distributions. Journal of Applied Probability, to appear.