Second order asymptotics for ruin probabilities of the delayed renewal risk model with heavy-tailed claims

Abstract

Since the pioneer work by H. Cramér, the asymptotic estimate of ruin probabilities has been extensively investigated by many researchers. Under heavy-tailed claims, Lin (2012, Insurance: Mathematics and Economics 51 (2):422–429) established the second order asymptotics for the ruin probabilities of the ordinary renewal risk model. In this paper, we extends the corresponding result in Lin (2012, Insurance: Mathematics and Economics 51 (2):422–429) to the case of the delayed renewal risk model.