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General Bounds On Ruin Probabilities

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  • Kaas, R
  • Goovaerts, M

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.

Suggested Citation

  • Kaas, R & Goovaerts, M, 1985. "General Bounds On Ruin Probabilities," University of Amsterdam, Actuarial Science and Econometrics Archive 293102, University of Amsterdam, Faculty of Economics and Business.
    • Handle: RePEc:ags:amstas:293102
    DOI: 10.22004/ag.econ.293102
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    Research Methods/ Statistical Methods;

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