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Bounds on the tails of convolutions of compound distributions

✍ Scribed by Gordon E. Willmot; Xiaodong Lin

Book ID
107919086
Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
379 KB
Volume
18
Category
Article
ISSN
0167-6687

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πŸ“œ SIMILAR VOLUMES

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On the relationship between bounds on the tails of compound distributions
✍ Gordon E. Willmot πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 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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✍ E.G. Willmot; X. Lin πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 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