On Upper Bounds for the Tail Distribution of Geometric Sums of Subexponential Random Variables
Probability
2009-03-18 v2
Abstract
The approach used by Kalashnikov and Tsitsiashvili for constructing upper bounds for the tail distribution of a geometric sum with subexponential summands is reconsidered. By expressing the problem in a more probabilistic light, several improvements and one correction are made, which enables the constructed bound to be significantly tighter. Several examples are given, showing how to implement the theoretical result.
Keywords
Cite
@article{arxiv.0805.4548,
title = {On Upper Bounds for the Tail Distribution of Geometric Sums of Subexponential Random Variables},
author = {Andrew Richards},
journal= {arXiv preprint arXiv:0805.4548},
year = {2009}
}
Comments
14 pages, 4 figures