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

Fengyang Cheng and Hui Xu

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 12, 4119-4132

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 ∑i=1nθiXi, in which the weights θi i=1,2,⋯,n are positive random variables which are bounded above and the primary random variables Xi, i=1,2,⋯,n are conditionally independent and follow subexponential distributions.

Date: 2022
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DOI: 10.1080/03610926.2020.1811337

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