Let us consider a discrete-time insurance risk model with insurance and financial risks, where the insurance net loss within period and the stochastic discount factor over the interval follow a certain dependence structure for each fixed . Under the assumption that the distribution of net insurance loss within one time period is consistently varying-tailed, precise estimates for finite and infinite time ruin probabilities are derived. Furthermore, these estimates are uniform on the time horizon.
25 August 2017 in Applied Stochastic Models in Business and Industry