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Bounds for compound distributions based on mean residual lifetimes and equilibrium distributions. (English) Zbl 0924.62110

The author establishes bounds for the right tail of the total claims distribution. Upper, lower and moment based Pareto bounds are obtained. Estimates are given in terms of the equilibrium distribution and the mean residual lifetime. Some generalizations with higher-order equilibrium distributions are given.

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
62E15 Exact distribution theory in statistics
91B30 Risk theory, insurance (MSC2010)
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References:

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