The ruin problem in a renewal risk model with two-sided jumps

In this paper, we study the ruin problem of a renewal risk process with two-sided jumps. We first derive a defective renewal equation for the ruin probability, then based on the defective renewal equation we give the asymptotic results for the probability of ruin when the claim sizes have a distribution that belongs to S(ν)S(ν) with ν≥0ν≥0.