Abstract
Recently a lot of results have been obtained for determining bounds on integrals with integral constraints. As a consequence best bounds on excess of loss and stop loss premiums are determined under various practical constraints. The present contribution shows how these results can be applied to determine the dependence of infinite time ruin probabilities on excess of loss reinsurance limits. Hence the optimal level of excess of loss reinsurance for a portfolio of risks is determined in case the ultimate ruin probability is taken as stability criterion.
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