Bounds for ruin probabilities in the presence of large claims and their comparison. With a discussion by John A. Beekman and a reply by the author. (English) Zbl 1082.91538
Summary: 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.
MSC:
| 91B30 | Risk theory, insurance (MSC2010) |
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
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