On sequential maxima of geometric sample means, with extension to the ruin probability

Dawei Lu, Yan Wang, Jingmei Li


In this paper, we consider the ruin probability of risk models with a geometric distribution of claim sizes. Since their probabilities can't be calculated directly, we use exponential distribution to estimate its upper and lower bounds and asymptotic estimates based on the relationship between geometric distribution and exponential distribution. Finally, some numerical simulations are given to prove the superiority of our estimates.


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