Bounds for the Ruin Probability in the Sparre–Andersen Model

Sotirios Losidis and Vaios Dermitzakis ()
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Sotirios Losidis: Independent Researcher, 30 Aristaiou Str., 11743 Athens, Greece
Vaios Dermitzakis: Institute for Financial and Actuarial Mathematics, Department of Mathematical Sciences, University of Liverpool, Liverpool L69 7ZL, UK

Risks, 2024, vol. 12, issue 2, 1-15

Abstract: We obtain the upper and lower bounds for the ruin probability in the Sparre–Andersen model. These bounds are established under various conditions: when the adjustment coefficient exists, when it does not exist, and when the interarrival distribution belongs to certain aging classes. Additionally, we improve the Lundberg upper bound for the ruin probability.

Keywords: Sparre–Andersen model; ruin probability; truncated Cramer–Lundberg condition; aging properties (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2024
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