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Optimal Upper and Lower Bounds for the Upper Tails of Compound Poisson Processes

✍ Scribed by Marjorie G. Hahn; Michael J. Klass


Book ID
110424295
Publisher
Springer US
Year
1998
Tongue
English
Weight
607 KB
Volume
11
Category
Article
ISSN
0894-9840

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Upper bounds for the tail of the compoun
✍ 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