Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes

Abstract

The paper deals with the Sparre Andersen risk model. We study the tail behaviour of the finite-time ruin probability, Ψ ( x , t ) , in the case of subexponential claim sizes as initial risk reserve x tends to infinity. The asymptotic formula holds uniformly for t in a corresponding region and reestablishes a formula of Tang [Tang, Q., 2004a. Asymptotics for the finite time ruin probability in the renewal model with consistent variation. Stochastic Models 20, 281–297] obtained for the class of claim distributions having consistent variation.