A Lundberg-type inequality for an inhomogeneous renewal risk model
Volume 2, Issue 2 (2015), pp. 173–184
Pub. online: 31 July 2015
Type: Research Article
Open Access
Open Access
Received
19 June 2015
19 June 2015
Revised
25 July 2015
25 July 2015
Accepted
26 July 2015
26 July 2015
Published
31 July 2015
31 July 2015
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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