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Refinements of bounds for tails of compound distributions and ruin probabilities

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  • Chadjiconstantinidis, Stathis
  • Xenos, Panos

Abstract

In this paper we derive lower bounds for right-tails of compound geometric distributions and ruin probabilities in the classical compound Poisson risk model in the heavy-tailed cases using the truncated Lundberg condition, which improve all the corresponding known lower bounds. Some upper bounds are also derived. Examples are given and numerical comparison for ruin probabilities when the adjustment coefficient does not exist are also considered, illustrating the effectiveness of the proposed new bounds. In addition, several bounds for tails of negative binomial distributions are obtained in terms of the tail of compound geometric distributions as well as bounds in the heavy-tailed cases. Also, some bounds for the stop-loss premium associated with compound negative binomial distributions are given. Using Chernoff's upper bounds we derive two-sided bounds for tails of compound Poisson distributions. Finally, two-sided bounds are given for tails of compound logarithmic distributions in the heavy-tailed cases.

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  • Chadjiconstantinidis, Stathis & Xenos, Panos, 2022. "Refinements of bounds for tails of compound distributions and ruin probabilities," Applied Mathematics and Computation, Elsevier, vol. 421(C).
    • Handle: RePEc:eee:apmaco:v:421:y:2022:i:c:s0096300322000340
    DOI: 10.1016/j.amc.2022.126948
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    References listed on IDEAS

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    1. Chadjiconstantinidis, Stathis & Politis, Konstadinos, 2007. "Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 41-52, July.
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    6. Woo, Jae-Kyung, 2011. "Refinements of two-sided bounds for renewal equations," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 189-196, March.
    7. Willmot, Gordon E., 1997. "On the relationship between bounds on the tails of compound distributions," Insurance: Mathematics and Economics, Elsevier, vol. 19(2), pages 95-103, April.
    8. De Vylder, F. & Goovaerts, M., 1984. "Bounds for classical ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 3(2), pages 121-131, April.
    9. Dickson, D. C. M., 2001. "Lundberg Approximations for Compound Distributions with Insurance Applications. By G. E. Willmot and X. S. Lin. (Springer, 2000)," British Actuarial Journal, Cambridge University Press, vol. 7(4), pages 690-691, October.
    10. Cai, Jun & Garrido, Jose, 1998. "Aging properties and bounds for ruin probabilities and stop-loss premiums," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 33-43, October.
    11. Politis, Konstadinos, 2005. "Bounds for the probability and severity of ruin in the Sparre Andersen model," Insurance: Mathematics and Economics, Elsevier, vol. 36(2), pages 165-177, April.
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    1. Martire, Antonio Luciano, 2022. "Volterra integral equations: An approach based on Lipschitz-continuity," Applied Mathematics and Computation, Elsevier, vol. 435(C).

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