Asymptotic Ruin Probabilities In Finite Horizon With Subexponential Losses And Associated Discount Factors

  • Authors:

  • Qihe Tang

  • Affiliations:

  • Department of Statistics and Actuarial Science, The University of Iowa, Iowa City, IA 52242-1409, Department of Mathematics and Statistics, Concordia University, Montreal, Quebec, H4B 1R6, Canada, ...

  • Venue:
  • Probability in the Engineering and Informational Sciences
  • Year:
  • 2006

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Abstract

Consider a discrete-time insurance risk model with risky investments. Under the assumption that the loss distribution belongs to a certain subclass of the subexponential class, Tang and Tsitsiashvili (Stochastic Processes and Their Applications 108(2): 299–325 (2003)) established a precise estimate for the finite time ruin probability. This article extends the result both to the whole subexponential class and to a nonstandard case with associated discount factors.