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On upper bounds for the tail distribution of geometric sums of subexponential random variables

โœ Scribed by Andrew Richards


Publisher
Springer US
Year
2009
Tongue
English
Weight
466 KB
Volume
62
Category
Article
ISSN
0257-0130

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Upper bounds for the tail of the compoun
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