Martingale Approach to Derive Lundberg-Type Inequalities

Martingale Approach to Derive Lundberg-Type Inequalities

In this paper, we find the upper bound for the tail probability <inline-formula><math display="inline"><semantics><mrow><mi mathvariant="double-struck">P</mi><mfenced separators="" open="(" close=")"><msub...

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Bibliographic Details
Main Authors: Tautvydas Kuras, Jonas Sprindys, Jonas Šiaulys
Format: Article
Language:English
Published: MDPI AG 2020-10-01
Series:Mathematics
Subjects:
exponential estimate
supremum of sums
tail probability
risk model
inhomogeneity
ruin probability
Online Access:https://www.mdpi.com/2227-7390/8/10/1742

Internet

https://www.mdpi.com/2227-7390/8/10/1742

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