A Lundberg-type inequality for an inhomogeneous renewal risk model
Probability
2015-08-13 v1
Abstract
We obtain a Lundberg-type inequality in the case of an inhomogeneous renewal risk model. We consider the model with independent, but not necessarily identically distributed, claim sizes and the interoccurrence times. In order to prove the main theorem, we first formulate and prove an auxiliary lemma on large values of a sum of random variables asymptotically drifted in the negative direction.
Keywords
Cite
@article{arxiv.1508.02853,
title = {A Lundberg-type inequality for an inhomogeneous renewal risk model},
author = {Ieva Marija Andrulytė and Emilija Bernackaitė and Dominyka Kievinaitė and Jonas Šiaulys},
journal= {arXiv preprint arXiv:1508.02853},
year = {2015}
}
Comments
Published at http://dx.doi.org/10.15559/15-VMSTA30 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)