摘要
We consider a discrete time risk model in which the net payout （insurance risk） {Xk, k = 1, 2,...} are assumed to take real values and belong to the heavy-tailed class L∩ D and the discount factors （financial risk） {Yk, k = 1,2,...} concentrate on [θ, L], where 0 〈 0 〈 1, L 〈 ∞, {Xk, k = 1,2,...}, and {Yk, k=1,2,...} are assumed to be mutually independent. We investigate the asymptotic behavior of the ruin probability within a finite time horizon as the initial capital tends to infinity, and figure out that the convergence holds uniformly for all n ≥ 1, which is different from Tang Q H and Tsitsiashvili G （Adv Appl Prob, 2004, 36： 1278-1299）.
We consider a discrete time risk model in which the net payout （insurance risk） {Xk, k = 1, 2,...} are assumed to take real values and belong to the heavy-tailed class L∩ D and the discount factors （financial risk） {Yk, k = 1,2,...} concentrate on [θ, L], where 0 〈 0 〈 1, L 〈 ∞, {Xk, k = 1,2,...}, and {Yk, k=1,2,...} are assumed to be mutually independent. We investigate the asymptotic behavior of the ruin probability within a finite time horizon as the initial capital tends to infinity, and figure out that the convergence holds uniformly for all n ≥ 1, which is different from Tang Q H and Tsitsiashvili G （Adv Appl Prob, 2004, 36： 1278-1299）.
基金
supported by the National Natural Science Foundation of China (10671149)
the Ministry of Education of China, the Natural Science Foundation of Jiangxi(2008GQS0035)
the Foundation of the Hubei Provincial Department of Education (B20091107)
