Asymptotic behaviour of the finite‐time ruin probability in renewal risk models

Remigijus Leipus and Jonas Šiaulys

Applied Stochastic Models in Business and Industry, 2009, vol. 25, issue 3, 309-321

Abstract: In this paper we study the tail behaviour of the probability of ruin within finite time t, as initial risk reserve x tends to infinity, for the renewal risk model with strongly subexponential claim sizes. The asymptotic formula holds uniformly for t∈[f(x), ∞), where f(x) is an infinitely increasing function, and substantially extends the result of Tang (Stoch. Models 2004; 20:281–297) obtained for the class of claim distributions with consistently varying tails. Two examples illustrate the result. Copyright © 2008 John Wiley & Sons, Ltd.

Date: 2009
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https://doi.org/10.1002/asmb.747

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:25:y:2009:i:3:p:309-321

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