Tail of compound distributions and excess time

被引：23

作者：

Lin, XD

机构：

来源：

JOURNAL OF APPLIED PROBABILITY | 1996年 / 33卷 / 01期

关键词：

excess time; exponential and non-exponential bounds; insurance risk; new better than used; new worse than used; ruin probability; Wald's identity; M/G/1; queue;

D O I：

10.2307/3215276

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：

Bounds on the tail of compound distributions are considered. Using a generalization of Wald's fundamental identity, we derive upper and lower bounds for various compound distributions in terms of new worse than used (NWU) and new better than used (NBU) distributions respectively. Simple bounds are obtained when the claim size distribution is NWUC, NBUC, NWU, NBU, IMRL, DMRL, DFR and IFR. Examples on how to use these bounds are given.

引用

页码：184 / 195

页数：12

共 24 条

[11]

GERBER HU, 1973, MITT VEREIN SCHWEIZ, V73, P205

[12]

GERTSBAKH L, 1989, STAT RELIABILITY THE

[13]

KALASHNIKOV V, 1993, LECT NOTES MATH, V1546, P75

[14]

KINGMAN JFC, 1970, J ROY STAT SOC B, V32, P102

[15]

KINGMAN JFC, 1964, P CAMB PHILOS SOC, V60, P359

[16]

Panjer H.H., 1992, INSURANCE RISK MODEL

[17]

Ross S. M., 1983, STOCHASTIC PROCESSES

[18] BOUNDS ON DELAY DISTRIBUTION IN GI-G1 QUEUES [J].

ROSS, SM .

JOURNAL OF APPLIED PROBABILITY, 1974, 11 (02) :417-421

[19]

Stoyan D., 1983, COMP METHODS QUEUES

[20]

TAYLOR GC, 1976, SCAND ACTUAR J, P197, DOI DOI 10.1080/03461238.1976.10405616

← 1 2 3 →