Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks*

We consider a discrete-time risk model with insurance and financial risks. Within period i > 1, the real-valued net insurance loss caused by claims is the insurance risk, denoted by X (i) , and the positive stochastic discount factor over the same time period is the financial risk, denoted by Y (i) . Assume that {(X, Y), (X (i) , Y (i) ), i >1} form a sequence of independent identically distributed random vectors. In this paper, we investigate a discrete-time risk model allowing a dependence structure between the two risks. When (X, Y ) follows a bivariate Sarmanov distribution and the distribution of the insurance risk belongs to the class a"'(gamma) for some gamma > 0, we derive the asymptotics for the finite-time ruin probability of this discrete-time risk model.