Abstract
In this paper, we give a result on the local asymptotic behaviour of the probability of ruin in a continuous-time risk model in which the inter-claim times have an Erlang distribution and the individual claim sizes have a distribution that belongs toS(v) withv ≥ 0, but where the Lundberg exponent of the underlying risk process does not exist.
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Yin, C. A local limit theorem for the probability of ruin. Sci. China Ser. A-Math. 47, 711 (2004). https://doi.org/10.1360/03ys0039
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DOI: https://doi.org/10.1360/03ys0039