Bulletin of the Korean Mathematical Society (대한수학회보)

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

  • Gao, Qingwu (International Center of Management Science and Engineering School of Management and Engineering Nanjing University, School of Science Nanjing Audit University) ;
  • Zhang, Erli (Department of Computer Science Zhengzhou Institute of Finance and Economics) ;
  • Jin, Na (Jiangsu Price Institute Jiangsu Price Bureau)
  • Received : 2014.03.30
  • Published : 2015.05.31
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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.

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References

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