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

摘要

This paper obtains an asymptotic formula for the finite-time ruin probabilityof the compound nonhomogeneous Poisson risk model with a constant interestforce, in which the claims are conditionally independent random variables witha common subexponential distribution. The paper also obtains some asymptoticrelations of randomly weighted sums $sum_{i=1}^n heta_iX_i$, in which theweights $heta_i$ $i=1,2,cdots, n$ are positive random variables which arebounded above and the primary random variables $X_i$, $i=1,2,cdots,n$ areconditionally independent and follow subexponential distributions.