ASYMPTOTICS FOR A DISCRETE-TIME RISK MODEL WITH THE EMPHASIS ON FINANCIAL RISK. Issue 4 (27th June 2014) - Hashorva, Enkelejd
Abstract This paper focuses on a discrete-time risk model in which both insurance risk and financial risk are taken into account. We study the asymptotic behavior of the ruin probability and the tail probability of the aggregate risk amount. Precise asymptotic formulas are derived under weak moment conditions of involved risks. The main novelty of our results lies in the quantification of the impact of the financial risk.