Simplified bounds on the tails of compound distributions

被引：12

作者：

Willmot, GE ^{[1
]}

Lin, XD ^{[1
]}

机构：

[1] UNIV TORONTO,DEPT STAT,TORONTO,ON M5S 1A1,CANADA

来源：

JOURNAL OF APPLIED PROBABILITY | 1997年 / 34卷 / 01期

关键词：

failure rate; Lundberg inequality; Ruin probability;

D O I：

10.2307/3215181

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Upper and lower bounds are derived for the tail probabilities of compound distributions using simple properties of the claim size distribution. General bounds are then obtained for various classes of claim size distributions. Some examples are given.

引用

页码：127 / 133

页数：7