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Asymptotics for a discrete-time risk model with the emphasis on financial risk. (English) Zbl 1369.91088

Summary: 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.

MSC:

91B30 Risk theory, insurance (MSC2010)
60G70 Extreme value theory; extremal stochastic processes
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