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Stochastic Processes and their Applications 108 (2003) 299–325 /locate/spa Precise estimates for the ruin probability in nite horizon in a discrete-time model with heavy-tailed insurance and nancial risks Qihe Tanga ;∗, Gurami Tsitsiashvilib a Department of Quantitative Economics, University of Amsterdam, Roetersstraat 11, 1018 WB Amsterdam, The Netherlands b Institute of Applied Mathematics, Far Eastern Scientic Center, Russian Academy of Sciences, 690068 Vladivostok, Russia Received 17 October 2002; received in revised form 15 May 2003; accepted 7 July 2003 Abstract This paper investigates the probability o fruin within nite horizon for a discrete time risk model, in which the reserve o fan insurance business is currently invested in a risky asset. Under assumption that the risks are heavy tailed, some precise estimates for the nite time ruin probability are derived, which conrm a folklore that the ruin probability is mainly determined by whichever o finsurance risk and nancial risk is heavier than the other. In addition, some discussions on the heavy tails o fthe sum and product o findependent random variables are involved, most o fwhich have their own merits. c 2003 Elsevier B.V. All rights reserved. Keywords: Asymptotics; Dominated variation; Matuszewska indices; Moment index; Ruin probability; Subexponentiality 1. Introduction 1.1. Background of the present study Recently, a vast amount o fpapers has been published on the issue o f