Simplified bounds on the tails of compound distributions
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Publication:4339254
DOI10.2307/3215181zbMath0882.60088OpenAlexW4233436766MaRDI QIDQ4339254
Xiaodong Lin, Gordon E. Willmot
Publication date: 2 March 1998
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3215181
Inequalities; stochastic orderings (60E15) Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)
Related Items (13)
Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist ⋮ Error bounds for exponential approximation of large-system reliability ⋮ Some improvements on the Lundberg bound for the ruin probability ⋮ On the relationship between bounds on the tails of compound distributions ⋮ Bounds for compound distributions based on mean residual lifetimes and equilibrium distributions ⋮ Nonparametric statistical analysis of an upper bound of the ruin probability under large claims ⋮ Analysis of a defective renewal equation arising in ruin theory ⋮ Tail bounds for the joint distribution of the surplus prior to and at ruin ⋮ Some estimates of geometric sums ⋮ On the computation of the aggregate claim distribution when individual claims are inverse Gaussian ⋮ Pricing perpetual American catastrophe put options: A penalty function approach ⋮ Refinements of bounds for tails of compound distributions and ruin probabilities ⋮ The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
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