 Exponential misspecification of shape-one-half gamma claims

Replacing a shape-one-half gamma claim law by an exponential distribution with the same mean overestimates the adjustment coefficient. Indeed $R_I-R=\beta [3(1+\rho )-\sqrt{(\rho +9)(\rho +1)}]/[2(1+\rho )]>0$ because the difference of the squared terms is $8\rho (1+\rho )$. The resulting putative Lundberg inequality bound $e^{-R_{I}u}$ is smaller than the valid true-model bound $e^{-Ru}$ for $u>0$; the former is not justified for the true claim law. The true variance is twice the assumed variance, and its exponential tail decays more slowly.