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January  2016, 12(1): 31-43. doi: 10.3934/jimo.2016.12.31

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

 1 International Center of Management Science and Engineering, School of Management and Engineering, Nanjing University, Nanjing, 210093, China, China, China 2 Department of Mathematics, Zaozhuang University, Zaozhuang, 277160, China

Received  December 2012 Revised  November 2014 Published  April 2015

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.
Citation: Qingwu Gao, Zhongquan Huang, Houcai Shen, Juan Zheng. Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims. Journal of Industrial & Management Optimization, 2016, 12 (1) : 31-43. doi: 10.3934/jimo.2016.12.31
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