Consider a sequence X = (X n : n ≥ 1) of independent and identically distributed random variables, and an independent geometrically distributed random variable M with parameter p. The random variable S M = X 1 + ∙ ∙ ∙ + X M is called a geometric sum. In this paper we obtain asymptotic expansions for the distribution of S M as p ↘ 0. If EX 1 > 0, the asymptotic expansion is developed in powers of p and it provides higher-order correction terms to Renyi's theorem, which states that P(pS M > x) ≈ exp(-x/EX 1). Conversely, if EX 1 = 0 then the expansion is given in powers of √p. We apply the results to obtain corrected diffusion approximations for the M/G/1 queue. These expansions follow in a unified way as a consequence of new uniform renewal theory results that are also developed in this paper.

We consider the classical risk model with subexponential claim size distribution. Three methods are presented to simulate the probability of ultimate ruin and we investigate their asymptotic efficiency. One, based upon a conditional Monte Carlo idea involving the order statistics, is shown to be asymptotically efficient in a certain sense. We use the simulation methods to study the accuracy of the standard Embrechts-Veraverbeke [16] approximation for the ruin probability and also suggest a new one based upon ideas of Hogan [21].