A unified approach to the study of tail probabilities of compound distributions

DOI10.1239/jap/1032374755zbMath0967.60014OpenAlexW2019511621MaRDI QIDQ4954238

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Publication date: 30 August 2001

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1032374755

zbMATH Keywords

heavy-tailed distributionstochastic orderingLundberg's inequalityWald's identityNBU distributionNWU distributionCramér-Lundberg's conditionreliability distribution classes

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Queueing theory (aspects of probability theory) (60K25) Reliability and life testing (62N05)

Related Items (9)

Simple bounds for terminating Poisson and renewal shock processes ⋮ ApproximatingM/G/1 Waiting Time Tail Probabilities ⋮ The deficit at ruin in the Sparre Andersen model with interest ⋮ Aging and other distributional properties of discrete compound geometric distributions ⋮ Two-Sided Bounds for Tails of Compound Negative Binomial Distributions in the Exponential and Heavy-Tailed Cases ⋮ Non-exponential bounds for stop-loss premiums and ruin probabilities ⋮ Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model ⋮ Refinements of bounds for tails of compound distributions and ruin probabilities ⋮ SOME NEW BOUNDS FOR THE RENEWAL FUNCTION

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