Abstract
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.
Volume
3:2
Page
116-129
Year
1999
Categories
Financial and Statistical Methods
Loss Distributions
Extreme Values
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Solvency Analysis
Financial and Statistical Methods
Extreme Event Modeling
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Financial and Statistical Methods
Statistical Models and Methods
Publications
North American Actuarial Journal
