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A local limit theorem for the probability of ruin
Authors:Email author" target="_blank">Chuancun?YinEmail author
Institution: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.
Keywords:Cramer-Lundberg model  Erlang risk model  probability of ruin  subexponential distribution  
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