The Renewal Risk Model
In order to generalise the Cramér-Lundberg model, the inter-claim times are changed from an exponential to an arbitrary distribution of strictly positive random variables. We show that most of the results for the classical risk model can be generalised to the renewal model. The ruin probabilities are approximated in the small and in the large claims case. In the small claims case, we also find bounds for the ruin probabilities in finite time.