Deterministic claims maximize the adjustment coefficient at fixed mean and loading ($R_X\le R_{\mathbb{E}X}$)

Fix positive claim expected value $\mu$ and relative safety loading $\theta >0$ in a classical risk model. Assume the random claim law has an adjustment coefficient $R_X>0$. By Jensen inequality, $M_X(r)\ge e^{\mu r}$. Thus $e^{\mu R_X}-1-(1+\theta )\mu R_X\le 0$. The expression on the left is strictly convex, has negative derivative at zero and tends to infinity, so its unique positive zero $R_{\mu }$ satisfies $R_X\le R_{\mu }$. If the claim size is not almost surely constant, strict Jensen inequality gives $R_X<R_{\mu }$. Consequently the Lundberg inequality upper bound $e^{-R_{\mu }u}$ for deterministic claims is smaller for $u>0$. Comparing these upper bounds alone does not establish an ordering of actual ultimate ruin probabilities.