| Title |
A Lundberg-type inequality for an inhomogeneous renewal risk model / |
| Authors |
Andrulytė, Ieva Marija ; Bernackaitė, Emilija ; Kievinaitė, Dominyka ; Šiaulys, Jonas |
| DOI |
10.15559/15-VMSTA30 |
| Full Text |
|
| Is Part of |
Modern stochastics: theory and applications.. Kiev : VTeX. 2015, Vol. 2, no 2, p. 173-184.. ISSN 2351-6054 |
| Keywords [eng] |
Inhomogeneous model ; renewal model ; Lundberg-type inequality ; exponential bound ; ruin probability |
| Abstract [eng] |
We obtain a Lundberg-type inequality in the case of an inhomogeneous renewal risk model. We consider the model with independent, but not necessarily identically distributed, claim sizes and the interoccurrence times. In order to prove the main theorem, we first formulate and prove an auxiliary lemma on large values of a sum of random variables asymptotically drifted in the negative direction. |
| Published |
Kiev : VTeX |
| Type |
Journal article |
| Language |
English |
| Publication date |
2015 |
| CC license |
|
