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http://dx.doi.org/10.4134/JKMS.2014.51.4.735

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)
Publication Information
Journal of the Korean Mathematical Society / v.51, no.4, 2014 , pp. 735-749 More about this Journal
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;
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