Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails. (Q1413376): Difference between revisions

The paper studies the ruin probability in the classical risk model with homogeneous Poisson arrival process, constant premium rate and constant interest force. The case where the claim size is heavy-tailed, i.e. the equilibrium distribution function of the claim size belongs to a subclass of subexponential distributions, is considered. Accurate two-sided estimates for the ruin probability are obtained by reduction from the classical model without interest force. Some examples and numerical results are presented.