Abstract
In this study, we investigate the tail probability of the discounted aggregate claim sizes in a dependent risk model. In this model, the claim sizes are observed to follow a one-sided linear process with independent and identically distributed innovations. Investment return is described as a general stochastic process with cadlag paths. In the case of heavy-tailed innovation distributions, we are able to derive some asymptotic estimates for tail probability and to provide some asymptotic upper bounds to improve the applicability of our study.
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