Tail of compound distributions and excess time
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Publication:4877416
DOI10.2307/3215276zbMath0848.60081OpenAlexW2315206424MaRDI QIDQ4877416
Publication date: 21 October 1996
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3215276
Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22)
Related Items (21)
Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist ⋮ Refinements and distributional generalizations of Lundberg's inequality ⋮ On a risk measure inspired from the ruin probability and the expected deficit at ruin ⋮ Some improvements on the Lundberg bound for the ruin probability ⋮ Bounds on the tails of convolutions of compound distributions ⋮ On the relationship between bounds on the tails of compound distributions ⋮ Bounds for compound distributions based on mean residual lifetimes and equilibrium distributions ⋮ On the analysis of ruin-related quantities in the delayed renewal risk model ⋮ Aging and other distributional properties of discrete compound geometric distributions ⋮ On the expectations of the present values of the time of ruin perturbed by diffusion. ⋮ Nonparametric statistical analysis of an upper bound of the ruin probability under large claims ⋮ Analysis of a defective renewal equation arising in ruin theory ⋮ Upper bounds for the tail of the compound negative binomial distribution ⋮ Two-Sided Bounds for Tails of Compound Negative Binomial Distributions in the Exponential and Heavy-Tailed Cases ⋮ Bounds for Ruin Probabilities in the Presence of Large Claims and their Comparison ⋮ On a class of approximations for ruin and waiting time probabilities ⋮ Aging properties and bounds for ruin probabilities and stop-loss premiums ⋮ On upper bounds for the tail distribution of geometric sums of subexponential random variables ⋮ 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 ⋮ SOME NEW BOUNDS FOR THE RENEWAL FUNCTION
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