Some improvements on the Lundberg bound for the ruin probability

DOI10.1016/S0167-7152(96)00153-8zbMath0904.60068MaRDI QIDQ1380616

Yanhong Wu, Jun Cai

Publication date: 18 January 1999

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

compound distributionlifetime distributionrisk modelWeibull modelNBU distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Queueing theory (aspects of probability theory) (60K25) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items

Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist, On the relationship between bounds on the tails of compound distributions, Nonparametric statistical analysis of an upper bound of the ruin probability under large claims, Approximation der Ruinwahrscheinlichkeit bei diskreter Zeit mittels eines Resultats von A. Wald, Refinements of two-sided bounds for renewal equations, Interval estimation of the ruin probability in the classical compound Poisson risk model, Aging properties and bounds for ruin probabilities and stop-loss premiums, Refinements of bounds for tails of compound distributions and ruin probabilities

Cites Work

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• Refinements and distributional generalizations of Lundberg's inequality
• Lundberg bounds on the tails of compound distributions
• An upper bound for the probability of ultimate ruin
• Simplified bounds on the tails of compound distributions
• Tail of compound distributions and excess time