Some improvements on the Lundberg bound for the ruin probability

被引：11

作者：

Cai, J

Wu, YH

机构：

[1] CONCORDIA UNIV,DEPT MATH & STAT,MONTREAL,PQ H4B 1R6,CANADA

[2] UNIV ALBERTA,DEPT MATH SCI,EDMONTON,AB T6G 2G1,CANADA

来源：

STATISTICS & PROBABILITY LETTERS | 1997年 / 33卷 / 04期

关键词：

lifetime distribution classes; compound distribution; induction method; risk model;

D O I：

10.1016/S0167-7152(96)00153-8

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：

In this paper, improvements on the Lundberg bound for the ruin probability in the classical risk model an considered. First, a lower hound and an upper bound are derived in terms of an NWU and NBU distribution which generalize the Lundberg bound based on the exponential distribution. Second, some new techniques are developed based on the classical renewal theory. Extensions to more general cases are discussed. Application to the Weibull model is used for illustration.

引用

页码：395 / 403

页数：9

共 9 条

[1]

DICKSON DCM, 1994, SCAND ACTUAR J, P131

[2]

Gerber, 1979, INTRO MATH RISK THEO

[3] Tail of compound distributions and excess time [J].