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

2017/05/28 by Xu, Hui, Cheng, Fengyang
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1705.09939

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=1ⁿ θ_iX_i, in which the weights θ_i i=1,2,⋯, n are positive random variables which are bounded above and the primary random variables X_i, i=1,2,⋯,n are conditionally independent and follow subexponential distributions.

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