GENERAL BOUNDS ON RUIN PROBABILITIES

R Kaas and Marc Goovaerts

No 293102, University of Amsterdam, Actuarial Science and Econometrics Archive from University of Amsterdam, Faculty of Economics and Business

Abstract: In this paper we consider general bounds on ultimate ruin probabilities in a Poisson process when the claim severity distribution is not exponentially bounded. The bounds are derived using a variant of the Chebyshev inequality. Ruin probabilities are bounded using the claims distribution function as well as some of its partial moments, and the Poisson parameter.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 9
Date: 1985-11
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Journal Article: General bounds on ruin probabilities (1986)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:amstas:293102

DOI: 10.22004/ag.econ.293102

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