Bounds on the tails of convolutions of compound distributions

DOI10.1016/0167-6687(95)00024-0zbMath0853.62082OpenAlexW1979353143WikidataQ127977034 ScholiaQ127977034MaRDI QIDQ1921980

Xiaodong Lin, Gordon E. Willmot

Publication date: 7 January 1997

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

Full work available at URL: https://doi.org/10.1016/0167-6687(95)00024-0

zbMATH Keywords

diffusionconvolutionboundstail probabilitiescompound distributionruin probabilities\(M/G/c\) queuecompound Poisson claims processesequilibrium waiting time distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (3)

On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications ⋮ On the complete monotonicity of the compound geometric convolution with applications in risk theory ⋮ On applications of residual lifetimes of compound geometric convolutions

Cites Work

• Risk theory for the compound Poisson process that is perturbed by diffusion
• Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
• Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
• Refinements and distributional generalizations of Lundberg's inequality
• Generalizations of the Pollaczek-Khinchin integral equation in the theory of queues
• Utilization of Idle Time in an M/G/1 Queueing System
• Lundberg bounds on the tails of compound distributions
• Tail of compound distributions and excess time
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