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.
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This work was supported by National Science Foundation of China (No. 10071081).
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Tang, Q., Su, C. Ruin Probabilities for Large Claims in Delayed Renewal Risk Model. SEA bull. math. 25, 735–743 (2002). https://doi.org/10.1007/s100120200014
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DOI: https://doi.org/10.1007/s100120200014