, Volume 21, Issue 1, pp 153-156

The Finite Time Ruin Probability with the Same Heavy-tailed Insurance and Financial Risks

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Abstract

This note complements a recent study in ruin theory with risky investment by establishing the same asymptotic estimate for the finite time ruin probability under a weaker restriction on the financial risks. In particular, our result applies to a critical case that the insurance and financial risks have Pareto-type tails with the same regular index.