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Finite-time ruin probability with heavy-tailed claims and constant interest rate. (English) Zbl 1132.91502
Summary: At first the paper investigates the asymptotic behavior of the finite-time ruin probability with constant interest rate and subexponentially tailed claim sizes, which extends the result recently established by Q. Tang [J. Appl. Probab. 42, No. 3, 608–619 (2005; Zbl 1132.91500)] for the classical risk model to the delayed renewal risk model; then, within the intersection class of the claim sizes with subexponential tails and the claim sizes with dominatedly varying tails, the paper discusses the finite-time ruin probability with claims arriving according to an arbitrary counting process.

MSC:
91B30 Risk theory, insurance (MSC2010)
62P05 Applications of statistics to actuarial sciences and financial mathematics
62E20 Asymptotic distribution theory in statistics
60F10 Large deviations
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