The ruin probabilities of a discrete-time risk model with dependent insurance and financial risks

Following the work of Sun and Wei (2014) [7], we investigate the ruin probabilities of a discrete-time insurance risk model with dependent insurance and financial risks. Assume that the one-period net insurance losses and discount factors form a sequence of independent and identically distributed copies of a random pair (X,θ)(X,θ). When the product Xθ   is heavy tailed, we establish an asymptotic formula for the finite-time ruin probability without any restriction on the dependence structure of (X,θ)(X,θ) and extend the result to the infinite time ruin probability.