Bounds for Ruin Probabilities in the Presence of Large Claims and their Comparison

Vladimir Kalashnikov

North American Actuarial Journal, 1999, vol. 3, issue 2, 116-128

Abstract: Upper and lower bounds of ruin probabilities for the S. Andersen model with large claims are proposed. The bounds are stated in terms of the corresponding ladder height distribution and have a reasonable accuracy, which is illustrated by numerical examples. Comparison with other known bounds is given.

Date: 1999
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DOI: 10.1080/10920277.1999.10595805

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