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

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  • Vladimir Kalashnikov

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.

Suggested Citation

  • Vladimir Kalashnikov, 1999. "Bounds for Ruin Probabilities in the Presence of Large Claims and their Comparison," North American Actuarial Journal, Taylor & Francis Journals, vol. 3(2), pages 116-128.
    • Handle: RePEc:taf:uaajxx:v:3:y:1999:i:2:p:116-128
    DOI: 10.1080/10920277.1999.10595805
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    Cited by:

    1. Olena Ragulina & Jonas Šiaulys, 2020. "Upper Bounds and Explicit Formulas for the Ruin Probability in the Risk Model with Stochastic Premiums and a Multi-Layer Dividend Strategy," Mathematics, MDPI, vol. 8(11), pages 1-35, October.
    2. Franco Pellerey & Cristina Zucca, 2005. "Stochastic Bounds for the Sparre Andersen Process," Methodology and Computing in Applied Probability, Springer, vol. 7(2), pages 225-247, June.
    3. Aicha Bareche & Mouloud Cherfaoui, 2019. "Sensitivity of the Stability Bound for Ruin Probabilities to Claim Distributions," Methodology and Computing in Applied Probability, Springer, vol. 21(4), pages 1259-1281, December.

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