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Uniform asymptotics for the finite-time ruin probability of a time-dependent risk model with pairwise quasiasymptotically independent claims. (English) Zbl 1266.91033

Summary: We consider a generalized time-dependent risk model with constant interest force, where the claim sizes are of pairwise quasiasymptotical independence structure, and the claim size and its interclaim time satisfy a dependence structure defined by a conditional tail probability of the claim size given the interclaim time before the claim occurs. As the claim-size distribution belongs to the dominated variation class, we establish some weakly asymptotic formulae for the tail probability of discounted aggregate claims and the finite-time ruin probability, which hold uniformly for all times in a relevant infinite interval.

MSC:

91B30 Risk theory, insurance (MSC2010)
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