Infinite-time Ruin Probability of a Discrete-time Risk Model with Dependent Claims

摘要

The infinite-time ruin probability of a discrete-time risk model with dependent claims and heavy-tailed innovations is investigated in this paper. The claims are assumed to follow a one-sided linear process with independent and identically distributed (i.i.d.) innovations. Stochastic discount factors, which are independent of the innovations, and constant premium rate are taken into account. As a result, we establish an asymptotic estimate for the infinite-time ruin probability.