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Bounds for the Ruin Probability in the Sparre–Andersen Model

Author

Listed:
  • 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)

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.

Suggested Citation

  • Sotirios Losidis & Vaios Dermitzakis, 2024. "Bounds for the Ruin Probability in the Sparre–Andersen Model," Risks, MDPI, vol. 12(2), pages 1-15, February.
    • Handle: RePEc:gam:jrisks:v:12:y:2024:i:2:p:28-:d:1331871
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