【摘 要】
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We consider a discrete time risk model in which the net payout (insurance risk) (Xk, k = 1,2,…} axe assumed to take real values and belong to the heavy-tailed
【机 构】
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School of Mathematics and Information Sciences,School of Mathematics and Statistics,College of Scien
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We consider a discrete time risk model in which the net payout (insurance risk) (Xk, k = 1,2,…} axe assumed to take real values and belong to the heavy-tailed class (￡) ∩ (D) and the discount factors (financial risk) {Yk, k = 1, 2,…} concentrate on [θ, L], where 0 < θ < 1, L < ∞, (Xk, k = 1, 2,…}, and {Yk, k=1, 2,…} are assumed to be mutually independent. We investigate the asymptotic behavior of the ruin probability within a finite time horizon as the initial capital tends to infinity, and figure out that the convergence holds uniformly for all n ≥ 1, which is different from Tang Q H and Tsitsiashvili G (Adv Appl Prob, 2004, 36: 1278-1299).
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