- Finite and inifinite time ruin probabilities in the presence of stochastic return on investments
- Advances in Applied Probability
- Volume | Issue number
- 36 | 4
- Pages (from-to)
- Number of pages
- Document type
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
- This paper investigates the finite- and infinite-time ruin probabilities in a discrete-time stochastic economic environment. Under the assumption that the insurance risk - the total net loss within one time period - is extended-regularly-varying or rapidly-varying tailed, various precise estimates for the ruin probabilities are derived. In particular, some estimates obtained are uniform with respect to the time horizon, and so apply in the case of infinite-time ruin.
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