The finite-time ruin probability of the nonhomogeneous Poisson risk model with conditionally independent subexponential claims

Abstract

This paper obtains an asymptotic formula for the finite-time ruin probability of the compound nonhomogeneous Poisson risk model with a constant interest force, in which the claims are conditionally independent random variables with a common subexponential distribution. The paper also obtains some asymptotic relations of randomly weighted sums ${\sum }_{i=1}^n{\theta }_i{X}_i$, in which the weights ${\theta }_i$ $i=1,2,\cdots ,n$ are positive random variables which are bounded above and the primary random variables $X_i$, $i=1,2,\cdots ,n$ are conditionally independent and follow subexponential distributions.

14 pages