Asymptotic estimates for ruin probabilities of a discrete-time risk model with dependence structures

Abstract

We study a discrete-time risk model of double dependence structures. The insurance company can make two investments, namely, risk-free and risky investments. The claim sizes follow a dependence structure, we assume that the dependence structure is one-sided linear process in which innovations is independent and identically distributed (i.i.d.), the innovations and financial risks are also form a dependence structure. When the distributions of the innovations belong to the intersection of the dominated-variation class and the class of long-tailed distributions, we derive some asymptotic formulas for the finite-time ruin probability.