I PRIKLADNAYA MATEMATIKA
(FUNDAMENTAL AND APPLIED MATHEMATICS)
1996, VOLUME 2, NUMBER 4, PAGES 1055-1100
V. V. Kalashnikov
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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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