For a random walk with negative mean and heavy-tailed increment distribution F, it is well known that under suitable subexponential assumptions, the distribution [pi] of the maximum has a tail [pi](x,[infinity]) which is asymptotically proportional to . We supplement here this by a local result...

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...

In this article, we propose a class of convex risk measures defined on appropriate wedges of a space of financial positions which denote the cumulative surplus variables created by undertaking risks by either an insurance or a reinsurance company. The form of the wedge which is the domain of...