On Upper Bounds for the Tail Distribution of Geometric Sums of Subexponential Random Variables
arXiv:0805.4548
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.
14 pages, 4 figures