Concordia University. Department of Mathematics & Statistics
Abstract
This paper investigates the finite and infinite time ruin probabilities in a discrete time stochastic economic environment. Under the assumption that the insurance risk
- the total net loss within one time period - is extended-regularly-varying or rapidly varying tailed, various precise estimates for the ruin probabilities are derived. In
particular, some estimates obtained are uniform with respect to the time horizon, hence apply for the case of infinite time ruin
