ASYMPTOTIC BEHAVIOR OF FINITE-TIME RUIN PROBABILITY IN A BY-CLAIM RISK MODEL WITH CONSTANT INTEREST RATE

This study investigates the ruin probability of a renewal risk model with constant interest rate and by-claim parts. We assume that the claim size and the inter-arrival time satisfy a certain dependent structure with some additional assumptions on their distribution functions. In particular, we study the asymptotic behavior of P(R*_δ´ (t, x) >x), which holds uniformly in a finite interval. In this way, we significantly extend the Li's result regarding the pairwise strong quasi-asymptotically independent random variables.