The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails

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THE FINITE-TIME RUIN PROBABILITY OF THE COMPOUND POISSON MODEL WITH CONSTANT INTEREST FORCE (2005, background): “Recently, Tang (2004) extended the work of Konstantinides et al. (2002) to the discrete-time model, while Tang (2005) extended the work of Klüppelberg and Stadtmüller (1998) to the ordinary renewal model.”
Randomly Weighted Sums of Subexponential Random Variables with Application to Ruin Theory (2003, background): “k. ( 16 ) Next we consider the rapid variation case.”
Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation (2005, background): “We also refer the interested reader to [6] for some parallel discussions in a discrete time model.”
Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments (2004, background): “As shown by Tang and Tsitsiashvili (2003), in terms of these maxima, the ruin probabilities (1.3) and (1.4) can be rewritten as ψ(x, n) = P(Un > x) and ψ(x) = P(U∞ > x), respectively. Under some general conditions, Nyrhinen (1999), (2001) investigated the asymptotic behavior of the ruin probabilitie”
Ruin Models with Investment Income (2008, unknown): “Culminating through a series of papers [3, 33, 35, 37, 66, 67, 68], it was proved in [32] that when σR = 0 and F ∈ S, ψ(t, y) ∼ λ r ∫ ye”