BFS 2002

Poster Presentation

Two-sided Estimates for Ruin Probability under Constant Interest Force: by Reduction from the Non-interest Case

Dimitrios Konstantinides, Qi He Tang, Gurami Tsitsiashvili

In this paper we investigate the ruin probability in the classical risk model under a positive constant interest force. We restrict ourselves to the case where the claim size is heavy-tailed, i.e. the equilibrium distribution function of the claim size belongs to a wide subclass (named \cal{A}) of the subexponential distributions. Two-sided estimates for the ruin probability are developed by reduction from the classical model without interest force.