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Local asymptotic behavior of the survival probability of the equilibrium renewal model with heavy tails |
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| Authors: | Tao?Jiang mailto:jtao@.net" title=" jtao@.net" itemprop=" email" data-track=" click" data-track-action=" Email author" data-track-label=" " >Email author,Yiqing?Chen |
| Affiliation: | 1. School of Finance, Nanjing University of Finance and Economics, Nanjing 210003, China 2. School of Economics and Management, Guangdong University of Technology, Guangzhou 510090, China |
| Abstract: | Recently, Tang established a local asymptotic relation for the ruin probability in the Cramer-Lundberg risk model. In this short note we extend the corresponding result to the equilibrium renewal risk model. |
| Keywords: | geometric sums heavy-tailed distribution ladder height the equilibrium renewal model the ruin probability. |
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