On the Finite Time Ruin Probability in the Dependence Collective Insurance Risk Model

In the risk theory, work concerning the financial surplus of insurance companies in continuous time has been proceeding for nearly a century. In the present paper, we consider the classical compound Poisson risk model with dependence between claim sizes and claim inter-arrival time. The dependence assumption between the interclaim times and the claim sizes is well suited for insurance contracts during extreme and catastrophic events. We attempt to analyze the approximation of finite time ruin probability for such model as the initial capital increases.