基于进入过程具有常利率和正则变化索赔的风险模型的渐近破产概率

摘要

Investigated in this paper is an insurance risk model with a constant interest force and the claim process being driven by an entrance process. Under the conditions that the entrance process is a renewal process and the claim size is of regularly varying tailed, the asymptotic behavior for the ruin probability as the initial capital tends to infinity is obtained. A similar result also holds for the case that the entrance process is a homogeneous Poisson process.