Finite time ruin probability with heavy-tailed insurance and financial risks

This paper studies the probability of ruin within a finite time for a discrete-time model, in which the insurance risk is assumed to be heavy tailed. A precise asymptotic estimate for the finite-time ruin probability is established as the initial capital increases, extending the corresponding result of Tang and Tsitsashvili [2003. Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. Stochastic Process. Appl. 108, 299–325] to the subexponential case.