FUNDAMENTALNAYA I PRIKLADNAYA MATEMATIKA

(FUNDAMENTAL AND APPLIED MATHEMATICS)

1996, VOLUME 2, NUMBER 4, PAGES 1055-1100

Ruin probability

V. V. Kalashnikov
D. Konstantinidis

Abstract

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A short review on ruin probabilities in the collective risk theory is given. Two-sided bounds of ruin probabilities are proposed for a classical risk model. In the case where Cramér's condition holds, these bounds coincide with those obtained by Rossberg and Siegel. In the heavy-tailed case, the estimates proposed are new.

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