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Bounds on the tails of convolutions of compound distributions

โœ Scribed by Gordon E. Willmot; Xiadong Lin

Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
28 KB
Volume
18
Category
Article
ISSN
0167-6687

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๐Ÿ“œ SIMILAR VOLUMES

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โœ Gordon E. Willmot ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 338 KB

A comparison of two upper bounds for the tails of compound distributions, both defined in terms of a new worse than used (NWU) distribution, reveals that one is sharper in the decreasing failure rate (DFR) case. An inductive argument is employed to construct a lower bound in terms of a new better th

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โœ E.G. Willmot; X. Lin ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 105 KB

A general upper bound for the tail of the compound negative binomial distribution is constructed. By establishing a connection with the individual risk mode the upper bound is seen to be a (possibly degenerate) mixture of tails of gamma distribution. The bound is sharp in that it is an equality in t