An asymptotic relationship for ruin probabilities under heavy-tailed claims

The famous Embrechts-Goldie-Veraverbeke formula shows that, in the classical Cramer-Lundberg risk model, the ruin probabilities satisfy R(x,∞) - p-1Fe(x) if the claim sizes are heavy-tailed, where Fe denotes the equilibrium distribution of the common d.f. F of the i.i.d. claims, p is the safety loading coefficient of the model and the limit process is for x→ ∞. In this paper we obtain a related local asymptotic relationship for the ruin probabilities. In doing this we establish two lemmas regarding the n-fold convolution of subexponential equilibrium distributions, which are of significance on their own right.