The Discussion Of Ruin Issue In Risk Models With Fat-tail

The calculation of ruin probability is regarded as the classical problem of the Actuary Science. Now, it is important for people to discuss on ruin issue in risk models with heavy-tailed. Problems of ruin probability of the original insurance company are dealt with for risk process models with heavy-tailed in this paper, the concrete contents are as follows:Firstly , we presents a renewal model. Under the assumption that the claim size is heavy-tailed. we considered the amount claimed for the distribution of the L∩D group at the end of the ruin probability of equivalence. And when the amount claimedfor the distribution of the S~* , we get the same local asymptotic relationship for theruin probability R~*(x,x + z]-z/ρ~*μF(x) as in the classic risk model.Then, we renewal process risk model is built up. In this model, the interest rate at any time continuous variety, the distribution of the claim size obey to ERV group, we get the ruin probability of equivalence.