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Document Details : Title: Martingales and Tail Probabilities Author(s): GERBER, Hans U. Journal: ASTIN Bulletin Volume: 24 Issue: 1 Date: May 1994 Pages: 145-146 DOI: 10.2143/AST.24.1.2005086 Abstract : At the twenty-eighth Actuarial Research Conference of the Somety of Actuaries, WILLMOT and LIN (1993) presented a paper whose central result is a bound on the tail probability of a random sum. In the subsequent discussion, Professor Bühlmann raised the question, if this bound could be derived by martingale methods. The purpose of this note is to show how it can be done. |