On the relationship between bounds on the tails of compound distributions

DOI10.1016/S0167-6687(96)00013-3zbMath0893.62106OpenAlexW2040851588WikidataQ127333082 ScholiaQ127333082MaRDI QIDQ1381146

Gordon E. Willmot

Publication date: 29 April 1998

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(96)00013-3

zbMATH Keywords

upper boundsnew better than useddecreasing failure rateruin theoryincreasing failure ratenew worse than useddecreasing mean residual lifetimetails of compound distributions

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Reliability and life testing (62N05)

Related Items

Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist, Nonparametric statistical analysis of an upper bound of the ruin probability under large claims, Non-exponential bounds for stop-loss premiums and ruin probabilities, 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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• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• On convolution tails
• Refinements and distributional generalizations of Lundberg's inequality
• Some improvements on the Lundberg bound for the ruin probability
• Simplified bounds on the tails of compound distributions
• Tail of compound distributions and excess time