Author:
Willmot G. E.,Lin Xiaodong
Abstract
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.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Reference4 articles.
1. Lundberg bounds on the tails of compound distributions
2. Refinements and distributional generalizations of Lundberg's inequality;Willmot;Insurance: Math. Econ.,1994
3. Tail of compound distributions and excess time
Cited by
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