Refinements of bounds for tails of compound distributions and ruin probabilities
作者：
Highlights：
• General lower and upper bounds for the right-tail of compound geometric distributions.
• Lower bounds for the right-tail of compound geometric distributions when the adjustment coefficient does not exist.
• Bounds for the tails of compound negative binomial distributions.
• Two-sided bounds for tails of compound Poisson distributions using Chernoff's upper bounds.
• Two-sided bounds for tails of compound logarithmic distributions in the heavy-tailed cases.
摘要
•General lower and upper bounds for the right-tail of compound geometric distributions.•Lower bounds for the right-tail of compound geometric distributions when the adjustment coefficient does not exist.•Bounds for the tails of compound negative binomial distributions.•Two-sided bounds for tails of compound Poisson distributions using Chernoff's upper bounds.•Two-sided bounds for tails of compound logarithmic distributions in the heavy-tailed cases.
论文关键词：Compound distribution,Heavy-tailed distribution,Compound geometric distribution,Compound negative binomial distribution,Compound Poisson distribution,Compound logarithmic distribution,Adjustment coefficient,Truncated Cramér-Lundberg condition
论文评审过程：Received 16 September 2021, Revised 4 January 2022, Accepted 11 January 2022, Available online 25 January 2022, Version of Record 25 January 2022.
论文官网地址：https://doi.org/10.1016/j.amc.2022.126948
