Interplay of insurance and financial risks in a discrete-time model with strongly regular variation (Q2515517)

In this paper, the authors consider an insurance firm exposing to two types of risk, namely insurance risk and financial risk. The former is attributed to fluctuations in insurance claims while the latter is attributed to uncertainty in investment returns. A discrete-time stochastic model describing the two types of risk is considered and the interplay between the two types of risk is explored. A particular attention is given to the ruin probability and tail probability of the aggregate risk amount. In particular, under the assumption of strongly regular variation of a convex combination of the distributions of the insurance and financial risk variables, the authors derive some asymptotic formulas for the ruin probability and the tail probability in the cases of finite-time horizon and infinite-time horizon.