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arXiv · 0805.4548

On Upper Bounds for the Tail Distribution of Geometric Sums of Subexponential Random Variables

Andrew Richards
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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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Andrew Richards. 2009-03-18. On Upper Bounds for the Tail Distribution of Geometric Sums of Subexponential Random Variables. https://arxiv.org/abs/0805.4548

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