Asymptotics for a discrete-time risk model with the emphasis on financial risk

TL;DR

This paper analyzes the asymptotic behavior of ruin and tail probabilities in a discrete-time risk model that incorporates both insurance and financial risks, providing precise formulas and highlighting the influence of financial risk.

Contribution

It introduces new asymptotic formulas for ruin probabilities in a combined insurance and financial risk model, emphasizing the quantification of financial risk impact.

Findings

Derived precise asymptotic formulas under weak moment conditions

Quantified the impact of financial risk on ruin probabilities

Extended classical risk models to include financial risk factors

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 behaviour of the ruin probability and the tail probability of the aggregate risk amount. Precise asymptotic formulas are derived under weak moment conditions on involved risks. The main novelty of our results lies in the quantification of the impact of the financial risk.