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Bounds for the Ruin Probability in the Sparre–Andersen Model
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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.
Title: Bounds for the Ruin Probability in the Sparre–Andersen Model
Description:
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.
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