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The probabilities of absolute ruin in the renewal risk model with constant force of interest. (English) Zbl 1194.91094
This paper considers the absolute ruin probabilities in finite and infinite times. The general framework is the classical compound Poisson setup with constant interest earned on the current surplus. A probabilistic approach based on the fact that at the time of each claim occurrence the surplus process “starts over” is employed. Further, results on randomly weighted sums are applied when the claim-size distribution is in the class \(S(\gamma)\) with \(\gamma=0\) resulting in the usual subexponential class.
The article is well structured. The proofs are written clearly and with sufficient detail.

MSC:
91B30 Risk theory, insurance (MSC2010)
60G70 Extreme value theory; extremal stochastic processes
60K05 Renewal theory
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