Ruin Probabilities for Large Claims in Delayed Renewal Risk Model

Abstract

This paper investigates ruin probabilities ψ(x) in the delayed renewal risk model, where x is the initial capital of an insurance company. Under the assumption that the claim size is heavy-tailed, we aim at a tail equivalence relationship of ψ(x) as x ⇛ ∞. The result we obtain in this paper is surprisingly the same as the previous classical results.