Wang Jingjing, Zhu Dongjing, Qian Wenying. The Asymptotic Estimate of Absolute Ruin Probabilities in the Renewal Risk Model with Constant Force of Interest[J]. Chinese Journal of Applied Probability and Statistics, 2012, 28(6): 647-654.
Citation: Wang Jingjing, Zhu Dongjing, Qian Wenying. The Asymptotic Estimate of Absolute Ruin Probabilities in the Renewal Risk Model with Constant Force of Interest[J]. Chinese Journal of Applied Probability and Statistics, 2012, 28(6): 647-654.

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

  • 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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