The Finite Time Ruin Probability with the Same Heavy-tailed Insurance and Financial Risks
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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.
Keywordsasymptotics heavy tails finite time ruin probability
2000 MR Subject Classification62P05 62E10 91B30
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