On upper bounds for the tail distribution of geometric sums of subexponential random variables |
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| Authors: | Andrew Richards |
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| Affiliation: | (1) Department of Actuarial Mathematics and Statistics and the Maxwell Institute for Mathematical Sciences, Heriot-Watt University, Edinburgh, Scotland, UK |
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| 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. |
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| Keywords: | Geometric sum Subexponential distribution Upper bounds GI/GI/1 |
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