Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate

Abstract

At first the paper investigates the asymptotic behavior of the finite-time ruin probability with constant interest rate and subexponentially tailed claim sizes, which extends the result recently established by Tang [14] Tang , Q. The finite time ruin probability of the compound Poisson model with constant interest force . J. Appl. Probab. 2005 , 42 ( 3 ), 608 – 619 .[Crossref], [Web of Science ®] , [Google Scholar] for the classical risk model to the delayed renewal risk model; then, within the intersection class of the claim sizes with subexponential tails and the claim sizes with dominatedly varying tails, the paper discusses the finite-time ruin probability with claims arriving according to an arbitrary counting process.

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