BOUNDS ON THE TAILS OF CONVOLUTIONS OF COMPOUND DISTRIBUTIONS

Authors
WILLMOT GE LIN XD
Citation
Ge. Willmot et Xd. Lin, BOUNDS ON THE TAILS OF CONVOLUTIONS OF COMPOUND DISTRIBUTIONS, Insurance. Mathematics & economics, 18(1), 1996, pp. 29-33
Citations number
12
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences
Journal title
Insurance. Mathematics & economics → ACNP
ISSN journal
01676687
Volume
18
Issue
1
Year of publication
1996
Pages
29 - 33
Database
ISI
SICI code
0167-6687(1996)18:1<29:BOTTOC>2.0.ZU;2-7
Abstract
In this paper the convolution of a compound distribution with another given distribution is considered. Upper and lower bounds on the tail p robabilities of this type of distribution are derived. Applications to the ruin probabilities of compound Poisson claims processes perturbed by diffusion and to an approximation to the equilibrium waiting time distribution of the M/G/c queue are given.