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 $\sum_{i=1}^n \theta_iX_i$, 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.