Mathematical Problems in Engineering
Volume 2011 (2011), Article ID 852852, 14 pages
Research Article

Approximation for the Finite-Time Ruin Probability of a General Risk Model with Constant Interest Rate and Extended Negatively Dependent Heavy-Tailed Claims

1School of Mathematics and Statistics, Nanjing Audit University, Nanjing 210029, China
2Department of Mathematics, Southeast University, Nanjing 210096, China
3Golden Audit College, Nanjing Audit University, Nanjing 210029, China

Received 6 March 2011; Revised 3 May 2011; Accepted 9 May 2011

Academic Editor: P. Liatsis

Copyright © 2011 Yang Yang et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


We propose a general continuous-time risk model with a constant interest rate. In this model, claims arrive according to an arbitrary counting process, while their sizes have dominantly varying tails and fulfill an extended negative dependence structure. We obtain an asymptotic formula for the finite-time ruin probability, which extends a corresponding result of Wang (2008).