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arXiv · 1508.02853

A Lundberg-type inequality for an inhomogeneous renewal risk model

Ieva Marija Andrulytė·Emilija Bernackaitė·Dominyka Kievinaitė·Jonas Šiaulys
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Abstract

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.

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Ieva Marija Andrulytė, Emilija Bernackaitė, Dominyka Kievinaitė, Jonas Šiaulys. 2015-08-12. A Lundberg-type inequality for an inhomogeneous renewal risk model. https://doi.org/10.15559/15-vmsta30

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