Department of Mathematics, Qufu Normal University, Qufu 273165, China
Abstract:
In this paper, we give a result on the local asymptotic behaviour of the probability of ruin in a continuous-time risk model
in which the inter-claim times have an Erlang distribution and the individual claim sizes have a distribution that belongs
toS(v) withv ≥ 0, but where the Lundberg exponent of the underlying risk process does not exist.