ASYMPTOTIC RUIN PROBABILITIES IN A GENERALIZED JUMP-DIFFUSION RISK MODEL WITH CONSTANT FORCE OF INTEREST Gao, Qingwu; Bao, Di;
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.
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