Some improvements on the Lundberg bound for the ruin probability

Statistics and Probability Letters

Volumn 33, Issue 4, 1997, Pages 395-403

  Cai, Jun ^a   Wu, Yanhong ^b  

^a Dept of Electrical and Computer Engineering   (Canada)

^b UNIVERSITY OF ALBERTA   (Canada)

Author keywords

Compound distribution; Induction method; Lifetime distribution classes; Risk model

Indexed keywords

EID: 0031574859     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0167-7152(96)00153-8     Document Type: Article

References (9)

1. Dickson, D.C.M. (1994), An upper bound for the probability of ultimate ruin, Scand. Actuar. J. 1994 131-138.
2. Gerber, H. (1979), An Introduction to Mathematical Risk Theory (S.S. Huebner Foundation, University of Pennsylvania, Philadelphia).
3. Lin, X. (1996), Tail of compound distributions and excess time, J. Appl. Probab. 33, 184-195.
4. Ross, S.M. (1983), Stochastic Processes (Wiley, New York).
5. Shaked, M. and S. Shanthikumar (1994), Stochastic Orders and Their Applications (Academic Press, New York).
6. Willmot, G.E. (1994), Refinements and distributional generalizations of Lundberg's inequality, Insurance Math. Econom. 15, 49-63.
7. Willmot, G.E. (1996), On the relationship between bounds on the tails of compound distributions, Research Report 96-05, Institute of Insurance and Pension Research, University of Waterloo.
8. Willmot, G.E. and X. Lin (1994), Lundberg bounds on the tails of compound distributions, J. Appl. Prob. 31, 743-756.
9. Willmot, G.E. and X. Lin (1997), Simplified bounds on the tails of compound distributions, to appear in: J. Appl. Probab.