The Finite Time Ruin Probability of the Compound Poisson Model with Constant Interest Force

摘要

In this paper we establish a simple asymptotic formula with respect to large initial surplus for thefinite time ruin probability of the compound Poisson model with constant interest force and subexponential claims. The formula is consistent with known results for the ultimate ruin probability and, in particular, it is uniform for alludtime horizons when the claim size distribution is regularly varying tailed.