CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2012, 28(6) 647-654 DOI:      ISSN: 1001-4268 CN: 31-1256

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The Asymptotic Estimate of Absolute Ruin Probabilities in the Renewal Risk Model with Constant Force of Interest

Wang Jingjing,Zhu Dongjing,Qian Wenying

School of Mathematics and Statistics, Suzhou Univeristy, School of Mathematics and Computer Science, Anhui Normal Univeristy

Abstract��

In this paper, absolute ruin problems
for a kind of renewal risk model with constant interest force are
studied. For certain situations of the claim distribution with heavy
tail, consider the surplus of the arrival time, and discrete the
surplus process, then use the method of renewal function and
convolution, we present the asymptotic properties of absolute ruin
probability when the initial surplus tends to infinity.

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