The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks

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      <subfield code="a">Sun, Ying</subfield>
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      <subfield code="a">The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks</subfield>
      <subfield code="c">Ying Sun,  Li Wei</subfield>
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      <subfield code="a">Consider a discrete-time insurance risk model in which the insurer makes both risk-free and risky investments. Assume that the one-period insurance and financial risks form a sequence of independent and identically distributed copies of a random pair (X,Y) with dependent components. When the product XY is heavy tailed, under a mild restriction on the dependence structure of (X,Y), we establish for the finite-time ruin probability an asymptotic formula, which coincides with the long-standing one in the literature. Various important special cases are presented, showing that our work generalizes and unifies some of recent ones.</subfield>
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      <subfield code="w">MAP20077100574</subfield>
      <subfield code="t">Insurance : mathematics and economics</subfield>
      <subfield code="d">Oxford : Elsevier, 1990-</subfield>
      <subfield code="x">0167-6687</subfield>
      <subfield code="g">03/11/2014 Volumen 59 Número 1 - noviembre 2014 </subfield>
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