SIMPLIFIED BOUNDS ON THE TAILS OF COMPOUND DISTRIBUTIONS

Authors
WILLMOT GE LIN XD
Citation
Ge. Willmot et Xd. Lin, SIMPLIFIED BOUNDS ON THE TAILS OF COMPOUND DISTRIBUTIONS, Journal of Applied Probability, 34(1), 1997, pp. 127-133
Citations number
4
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Journal of Applied Probability → ACNP
ISSN journal
00219002
Volume
34
Issue
1
Year of publication
1997
Pages
127 - 133
Database
ISI
SICI code
0021-9002(1997)34:1<127:SBOTTO>2.0.ZU;2-5
Abstract
Upper and lower bounds are derived for the tail probabilities of compo und distributions using simple properties of the claim size distributi on. General bounds are then obtained for various classes of claim size distributions. Some examples are given.