Ruin probabilities in a discrete time risk model with dependent risks of heavy tail

Abstract

This paper establishes some asymptotic results for both finite and ultimate ruin probabilities in a discrete time risk model with constant interest rates, and individual net losses in , the class of regular variation with index α>0. The individual net losses are allowed to be generally dependent while they have zero index of upper tail dependence, so that our results partially generalize the counterparts in Tang (2004). The procedure of deriving our results also demonstrates a new approach of achieving asymptotic formulation for ruin probabilities when the individual risks are dependent.