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Denoting by \\(\\beta_ j\\) the arrival intensity and by \\(B_ j\\) the claim size distribution when the environment is in the state \\(j( \\in E)\\), the authors suppose that there is a subset \\(E^{(1)}\\) of \\(E\\) such that, for every \\(j \\in E^{(1)}\\), \\(B_ j\\) verify the asymptotic condition \\(1-B_ j(x) \\sim b_ j (1 - H(x))\\), as \\(x \\to \\infty\\), for some \\(b_ j \\in (0, + \\infty)\\) and some p.d.f. \\(H\\), whose tail is a subexponential density, and, for every \\(j \\in E \\backslash E^{(1)}\\), \\(1 - B_ j(x) = o(1 - H(x))\\). Under these hypotheses, denoting by \\(\\psi_ i (u)\\) the probability of ruin for the above mentioned risk process, the authors prove that \\(\\psi_ i (u) \\sim c_ i \\int^ \\infty_ u (1 - H(x))dx\\), for some explicitly computed constant \\(c_ i\\). 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