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A non-exponential generalization of an inequality arising in queueing and insurance risk

Part of: Special processes

Published online by Cambridge University Press:  14 July 2016

Gordon E. Willmot
Gordon E. Willmot*
Affiliation:
University of Waterloo
*
∗ Postal address: Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario, Canada N2L 3G1.
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Abstract

An exponential inequality is generalized to one involving the tail of a decreasing failure rate distribution. The results are then applied in various situations, notably when the exponential inequality does not apply.

Keywords

INSURANCE RUIN THEORYLUNDBERG'S INEQUALITYRENEWAL PROCESSFAILURE RATE

MSC classification

Primary: 60K25: Queueing theory
Secondary: 60K30: Applications (congestion, allocation, storage, traffic, etc.)

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 33 , Issue 1 , March 1996 , pp. 176 - 183
Copyright
Copyright © Applied Probability Trust 1996 

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