Asymptotic Ruin Probability for Cox Risk Model with Variable Premium Rate and Constant Interest Force

This paper focuses on ruin probability for Cox model with variable premium rate and constant investment return when the claims have heavy tailed distribution. By considering the "skeleton process'' of Cox risk model, a recursive equation for finite time ruin probabilities are derived in terms of "renewal techniques'' and asymptotic estimation for finite time ruin probabilities and ultimate ruin probability are obtained by inductive method.