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Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims

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  • This paper investigates the asymptotic behavior of the random-time ruin probability in a time-dependent renewal risk model with pairwise quasi-asymptotically independent and subexponential claims, where the time-dependence structure is constructed between a claim size and its inter-arrival time, and described by a conditional tail probability of the claim size given the inter-arrival time before the claim occurs. In particular, the results we obtained are also valid for the finite-time ruin probability.
    Mathematics Subject Classification: Primary: 62E20; Secondary: 62P05, 91B30.

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