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General bounds on ruin probabilities

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  • Kaas, R.
  • Goovaerts, M. J.

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.
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  • Kaas, R. & Goovaerts, M. J., 1986. "General bounds on ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 5(2), pages 164-167, April.
    • Handle: RePEc:eee:insuma:v:5:y:1986:i:2:p:164-167
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