ASYMPTOTIC RUIN PROBABILITIES IN A GENERALIZED JUMP-DIFFUSION RISK MODEL WITH CONSTANT FORCE OF INTEREST

- Journal title : Journal of the Korean Mathematical Society
- Volume 51, Issue 4, 2014, pp.735-749
- Publisher : The Korean Mathematical Society
- DOI : 10.4134/JKMS.2014.51.4.735

Title & Authors

ASYMPTOTIC RUIN PROBABILITIES IN A GENERALIZED JUMP-DIFFUSION RISK MODEL WITH CONSTANT FORCE OF INTEREST

Gao, Qingwu; Bao, Di;

Gao, Qingwu; Bao, Di;

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.

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