Abstract:

An insurance risk model based on the policy entrance process, called as LIG model, was constructed. This model allows a policy to claim more than once during its validity-term. Under the basic assumptions of the entrance process is a non-homogeneous Poisson, and the claim size belongs to S, the family of subexponential distributions, an asymptotical equality expression of the finite time ruin probability was obtained.

Key words:  insurance risk model; LIG model; class S; ruin probability