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.
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Supported by National Natural Science Foundation of China (Grant No. 10871177) and Specialized Research Fund for Doctor Program of Higher Education (Grant No. 20060335032)
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Shen, X.M., Lin, Z.Y. The ruin probability of the renewal model with constant interest force and upper-tailed independent heavy-tailed claims. Acta. Math. Sin.-English Ser. 26, 1815–1826 (2010). https://doi.org/10.1007/s10114-010-7574-0
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DOI: https://doi.org/10.1007/s10114-010-7574-0