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 in which the weights θi are positive random variables which are bounded above and the primary random variables Xi , are conditionally independent and follow subexponential distributions.