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The finite-time ruin probability of the compound Poisson model with constant interest force. (English) Zbl 1132.91500
Summary: We establish a simple asymptotic formula for the finite-time ruin probability of the compound Poisson model with constant interest force and subexponential claims in the case that the initial surplus is large. The formula is consistent with known results for the ultimate ruin probability and, in particular, is uniform for all time horizons when the claim size distribution is regularly varying tailed.

91B30 Risk theory, insurance (MSC2010)
60G70 Extreme value theory; extremal stochastic processes
62P05 Applications of statistics to actuarial sciences and financial mathematics
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