Second Order Behaviour of Ruin Probabilities (Q4512137)

The Sparre Andersen model in the collective risk theory is investigated in this paper. Ruin probabilities \(\psi(x)\) are studied for the level of the risk process just after the \(n\)-th payoff, where \(x\) is the initial capital of the insurance company. Many papers have been devoted to the study of the asymptotic behaviour of \(\psi(x)\) as \(x\to+\infty.\) The classical Cramér result states that, whenever distribution function of claims has a fast-decaying tail, \(\psi(x)\) behaves exponentially as \(x\to+\infty.\) For the case where claim distributions have ``heavy tails'' estimates for the asymptotic ruin probability were obtained under certain conditions by \textit{P. Embrechts} and \textit{N. Veraverbeke} [Insur. Math. Econ. 1, 55-72 (1982; Zbl 0518.62083)] Assuming that the claim-size is heavy-tailed, say subexponential, the second order asymptotic behaviour of ruin probabilities is obtained in this paper.