Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model

We obtain lower and upper bounds for the severity of ruin in the renewal (Sparre Andersen) model of risk theory. We present two types of bounds: (i) bounds applicable generally; and (ii) exponential bounds for the case where the adjustment coefficient of the risk process exists. Many of these bounds are obtained using existing bounds and the integral equation for the severity of ruin.