The ruin probability of the renewal model with constant interest force and upper-tailed independent heavy-tailed claims

Authors
Shen, Xin Mei Lin, Zheng Yan
Citation
Shen, Xin Mei et Lin, Zheng Yan, The ruin probability of the renewal model with constant interest force and upper-tailed independent heavy-tailed claims, Acta mathematica Sinica. English series (Print) , 26(9), 2010, pp. 1815-1826
Journal title
Acta mathematica Sinica. English series (Print) → ACNP
ISSN journal
14398516
Volume
26
Issue
9
Year of publication
2010
Pages
1815 - 1826
Database
ACNP
SICI code
Abstract
In this paper, we obtain the uniform estimate for discounted aggregate claims in the continuous-time renewal model of upper-tailed independent and heavy-tailed random variables. With constant interest force and constant premium rate, we establish a uniform simple asymptotic formula for ruin probability of the renewal model in the case where the initial surplus is large.