Bulletin of the
Korean Mathematical Society BKMS

This paper investigates the tail asymptotic behavior of the severity of ruin (the deficit at ruin) in the renewal model. Under the assumption that the tail probability of the claimsize is dominatedly varying, a uniform asymptotic formula for the tail probability of the deficit at ruin is obtained.

Keywords: asymptotics, heavy tails, ladder height, renewal risk model, the ruin probability, the tail probability

MSC numbers: 62P05, 60K05