Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks

Abstract

Let us consider a discrete-time insurance risk model with insurance and financial risks, where the insurance net loss within period and the stochastic discount factor over the interval follow a certain dependence structure for each fixed . Under the assumption that the distribution of net insurance loss within one time period is consistently varying-tailed, precise estimates for finite and infinite time ruin probabilities are derived. Furthermore, these estimates are uniform on the time horizon.