TAIL OF COMPOUND DISTRIBUTIONS AND EXCESS TIME

Authors
LIN XD
Citation
Xd. Lin, TAIL OF COMPOUND DISTRIBUTIONS AND EXCESS TIME, Journal of Applied Probability, 33(1), 1996, pp. 184-195
Citations number
24
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Journal of Applied Probability → ACNP
ISSN journal
00219002
Volume
33
Issue
1
Year of publication
1996
Pages
184 - 195
Database
ISI
SICI code
0021-9002(1996)33:1<184:TOCDAE>2.0.ZU;2-Q
Abstract
Bounds on the tail of compound distributions are considered. Using a g eneralization of Wald's fundamental identity, we derive upper and lowe r 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.