Journal of the Korean Mathematical Society (대한수학회지)

Korean Mathematical Society (대한수학회)
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ASYMPTOTIC RUIN PROBABILITIES IN A GENERALIZED JUMP-DIFFUSION RISK MODEL WITH CONSTANT FORCE OF INTEREST

  • Gao, Qingwu (School of Science Nanjing Audit University) ;
  • Bao, Di (School of Science Nanjing Audit University)
  • Received : 2013.10.05
  • Published : 2014.07.01
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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.

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References

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