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ASYMPTOTIC RUIN PROBABILITIES IN A GENERALIZED JUMP-DIFFUSION RISK MODEL WITH CONSTANT FORCE OF INTEREST
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 Title & Authors
ASYMPTOTIC RUIN PROBABILITIES IN A GENERALIZED JUMP-DIFFUSION RISK MODEL WITH CONSTANT FORCE OF INTEREST
Gao, Qingwu; Bao, Di;
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 Abstract
This paper studies the asymptotic behavior of the finite-time ruin probability in a jump-diffusion risk model with constant force of interest, upper tail asymptotically independent claims and a general counting arrival process. Particularly, if the claim inter-arrival times follow a certain dependence structure, the obtained result also covers the case of the infinite-time ruin probability.
 Keywords
asymptotics;ruin probability;jump-diffusion model;upper tail asymptotic independence;counting process;
 Language
English
 Cited by
1.
THE ULTIMATE RUIN PROBABILITY OF A DEPENDENT DELAYED-CLAIM RISK MODEL PERTURBED BY DIFFUSION WITH CONSTANT FORCE OF INTEREST,;;;

대한수학회보, 2015. vol.52. 3, pp.895-906 crossref(new window)
1.
THE ULTIMATE RUIN PROBABILITY OF A DEPENDENT DELAYED-CLAIM RISK MODEL PERTURBED BY DIFFUSION WITH CONSTANT FORCE OF INTEREST, Bulletin of the Korean Mathematical Society, 2015, 52, 3, 895  crossref(new windwow)
2.
Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims, Journal of Industrial and Management Optimization, 2015, 12, 1, 31  crossref(new windwow)
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