The Finite-time Ruin Probability of a Discrete-time Risk Model with Subexponential and Dependent Insurance and Financial Risks

Abstract

Consider a discrete-time risk model with insurance and financial risks in a stochastic economic environment. Assume that the insurance and financial risks form a sequence of independent and identically distributed random vectors with a generic random vector following a wide type of dependence structure. An asymptotic formula for the finite-time ruin probability with subexponential insurance risks is derived. In doing so, the subexponentiality of the product of two dependent random variables is investigated simultaneously.