All ruin-inducing probability measures preserving a compound renewal process are characterized by pairs of functions (γ, δ), giving an explicit expectation formula for infinite-time ruin probability applicable to heavy-tailed claims.
(2009).Stopped Random Walks: Limit Theorems and Applications, 2nd ed., Springer-Verlag New York
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A characterization of ruin-inducing probability measures in a renewal risk model
All ruin-inducing probability measures preserving a compound renewal process are characterized by pairs of functions (γ, δ), giving an explicit expectation formula for infinite-time ruin probability applicable to heavy-tailed claims.