01125698

j

01125698 Cai, Jun Wu, Yanhong Some improvements on the Lundberg bound for the ruin probability. Stat. Probab. Lett. 33, No.4, 395-403 (1997). 1997 Elsevier Science B.V. (North-Holland), Amsterdam EN lifetime distribution compound distribution risk model NBU distribution Weibull model

doi:10.1016/S0167-7152(96)00153-8

Summary: Improvements on the Lundberg bound for the ruin probability in the classical risk model are considered. First, a lower bound and an upper bound are derived in terms of an NWU and NBU distribution which generalize the Lundberg bound based on the exponential distribution. Second, some new techniques are developed based on the classical renewal theory. Extensions to more general cases are discussed. Application to the Weibull model is used for illustration.