Bounds on stop-loss premiums and ruin probabilities

DOI10.1016/0167-6687(91)90009-MzbMath0739.62079OpenAlexW2081861456MaRDI QIDQ1182777

A. Steenackers, Marc J. Goovaerts

Publication date: 28 June 1992

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(91)90009-m

zbMATH Keywords

upper and lower boundsruin probabilitiescompound Poisson distributionstop-loss premiumsanalytical boundsinfinite ruin probabilityknown expectation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (5)

On the randomized Schmitter problem ⋮ Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences ⋮ On the probability of ruin for infinitely divisible claim amount distributions ⋮ Aging properties and bounds for ruin probabilities and stop-loss premiums ⋮ Bounds of ruin probabilities

Cites Work

• Unnamed Item
• Extremal values of stop-loss premiums under moment constraints
• On the numerical evaluation of the distribution of aggregate claims and its stop-loss premiums

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