Bounds on stop-loss premiums and ruin probabilities

Upper and lower bounds are obtained for stop-loss premiums of a compound Poisson distribution with intensity λ and for ruin probabilities with safety margin θ in case of known expectation, variance and range for the claim severity function.

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Published in:Insurance, mathematics & economics mathematics & economics, 1991-07, Vol.10 (2), p.153-159
Main Authors: Steenackers, A., Goovaerts, M.J.
Format: Article
Language:English
Subjects:
Analytical bounds
Infinite ruin probability
Insurance premiums
Mathematical models
Probability
Stop-loss order
Stop-loss premium
Theory
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description Upper and lower bounds are obtained for stop-loss premiums of a compound Poisson distribution with intensity λ and for ruin probabilities with safety margin θ in case of known expectation, variance and range for the claim severity function.
doi_str_mv 10.1016/0167-6687(91)90009-M
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source International Bibliography of the Social Sciences (IBSS); Science Direct (Econometrics Backfile); Backfile Package - Mathematics (Legacy) [YMT]
subjects Analytical bounds
Infinite ruin probability
Insurance premiums
Mathematical models
Probability
Stop-loss order
Stop-loss premium
Theory
title Bounds on stop-loss premiums and ruin probabilities
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