Asymptotic ruin probabilities of the renewalmodel with constant interest force and dependent heavy-tailed claims

Abstract

In this paper, we investigate the asymptotic behavior for the finite- and infinite-time ruin probabilities of a nonstandard renewal model in which the claims are identically distributed but not necessarily independent. Under the assumptions that the identical distribution of the claims belongs to the class of extended regular variation (ERV) and that the tails of joint distributions of every two claims are negligible compared to the tails of their margins, we obtain the precise approximations for the finite- and infinite-time ruin probabilities.