The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails

This paper investigates the ultimate ruin probability of a discrete time risk model with a positive constant interest rate. Under the assumption that the gross loss of the company within one year is subexponentially distributed, a simple asymptotic relation for the ruin probability is derived and compared to existing results. Keywords: Asymptotics, Constant Interest Rate, Matuszewska Index, Ruin Probability, Subexponentiality