Tang, Qihe; Tsitsiashvili, Gurami - In: Stochastic Processes and their Applications 108 (2003) 2, pp. 299-325
This paper investigates the probability of ruin within finite horizon for a discrete time risk model, in which the reserve of an insurance business is currently invested in a risky asset. Under assumption that the risks are heavy tailed, some precise estimates for the finite time ruin...