Abstract
Klüppelberg and Stadtmüller (1998, Scand. Actuar. J., no. 1, 49–58) obtained a simple asymptotic formula for the ruin probability of the classical model with constant interest force and regularly varying tailed claims. This short note extends their result to the renewal model. The proof is based on a result of Resnick & Willekens (1991, Comm. Statist. Stochastic Models 7, no. 4, 511–525).
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have