Explicit Asymptotics for the Ruin Probability with Risky Investment Included*

In this paper, we investigate the ruin probability of a discrete-time risk model, in which the surplus of an insurance business is currently investedinto a risky asset. Using a purely probabilistic treatment, we establishexplicit asymptotic relations for the infinite-time ruin probabilities,hence we extend a recent result of Tang and Tsitsiashvili (2003) to the infinite-time case.