BFS 2002

Poster Presentation

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.