THE ULTIMATE RUIN PROBABILITY OF A DEPENDENT DELAYED-CLAIM RISK MODEL PERTURBED BY DIFFUSION WITH CONSTANT FORCE OF INTEREST

- Journal title : Bulletin of the Korean Mathematical Society
- Volume 52, Issue 3, 2015, pp.895-906
- Publisher : The Korean Mathematical Society
- DOI : 10.4134/BKMS.2015.52.3.895

Title & Authors

THE ULTIMATE RUIN PROBABILITY OF A DEPENDENT DELAYED-CLAIM RISK MODEL PERTURBED BY DIFFUSION WITH CONSTANT FORCE OF INTEREST

Gao, Qingwu; Zhang, Erli; Jin, Na;

Gao, Qingwu; Zhang, Erli; Jin, Na;

Abstract

Recently, Li [12] gave an asymptotic formula for the ultimate ruin probability in a delayed-claim risk model with constant force of interest and pairwise quasi-asymptotically independent and extended-regularly-varying-tailed claims. This paper extends Li`s result to the case in which the risk model is perturbed by diffusion, the claims are consistently-varying-tailed and the main-claim interarrival times are widely lower orthant dependent.

Keywords

asymptotic ruin probability;delayed claim;diffusion;pairwise quasi-asymptotic independence;widely lower orthant dependence;

Language

English

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