A uniform asymptotic estimate for discounted aggregate claims with subexponential tails

In this paper we study the tail probability of discounted aggregate claims in a continuous-time renewal model. For the case that the common claim-size distribution is subexponential, we obtain an asymptotic formula, which holds uniformly for all time horizons within a finite interval. Then, with some additional mild assumptions on the distributions of the claim sizes and inter-arrival times, we further prove that this formula holds uniformly for all time horizons. In this way, we significantly extend a recent result of Tang [Tang, Q., 2007. Heavy tails of discounted aggregate claims in the continuous-time renewal model. J. Appl. Probab. 44 (2), 285–294].