The Cramér condition is necessary and sufficient for asymptotically exponential decrease of ruin probability (Q1291202)

It is known, by virtue of the classical Cramér-Lundberg theorem, that the ruin probability, \(\psi(x)\), is asymptotically exponential when the initial surplus \(x\) tends to infinity, if the Cramér condition is satisfied. Here, it is proved that the Cramér condition follows from the exponential asymptotics of ruin probability. After having presented relationships existing between age-dependent branching processes and the classical model in risk theory involving the ruin probability, the author proves that if the ruin probability is asymptotically exponential, i.e., \[ \psi(x)\cong Ae^{-k_0x},\;x\to\infty, \] \(A\) and \(k_0\) being positive constants, then the Cramér condition holds. In conclusion, the Cramér condition is necessary and sufficient for asymptotically exponential decrease of ruin probability.