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

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  • Fengyang Cheng
  • Hui Xu

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.

Suggested Citation

  • Fengyang Cheng & Hui Xu, 2022. "The finite-time ruin probability of the nonhomogeneous Poisson risk model with conditionally independent subexponential claims," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 51(12), pages 4119-4132, May.
    • Handle: RePEc:taf:lstaxx:v:51:y:2022:i:12:p:4119-4132
    DOI: 10.1080/03610926.2020.1811337
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