Ruin Probabilities for Large Claims in Delayed Renewal Risk Model |
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| Authors: | Qihe Tang Chun Su |
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| Institution: | (1) Department of Statistics and Finance, University of Science and Technology of China, Hefei, 230026, Anhui, P.R. China |
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| Abstract: | This paper investigates ruin probabilities  (x) in the delayed renewal risk model, where x is the initial capital of an insurance company. Under the assumption that the claim size is heavy-tailed, we aim at a tail equivalence relationship of (x) as x   . The result we obtain in this paper is surprisingly the same as the previous classical results.This work was supported by National Science Foundation of China (No. 10071081). |
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| Keywords: | Delayed renewal process Equilibrium distribution Heavy-tailed distribution Ruin probabilities Risk model |
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