Bai, Xiaodong; Song, Lixin - In: Statistics & Probability Letters 82 (2012) 9, pp. 1718-1726
Consider the probability of random time absolute ruin in the renewal risk model with constant premium rate and constant force of interest. We assume that claim sizes Xi,i=1,2,…, are conditionally independent on some sigma algebra and that the common distribution belongs to class D∩L. We...