The ruin problem in a renewal risk model with two-sided jumps

Abstract In this paper, we study the ruin problem of a renewal risk process with two-sided jumps. We first derive a defective renewal equation for the ruin probability, then based on the defective renewal equation we give the asymptotic results for the probability of ruin when the claim sizes have a distribution that belongs to S ( ν ) with ν ≥ 0 .

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