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Korean Mathematical Society JKMS

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J. Korean Math. Soc. 2014; 51(4): 735-749

Printed July 1, 2014

https://doi.org/10.4134/JKMS.2014.51.4.735

Copyright © The Korean Mathematical Society.

Asymptotic ruin probabilities in a generalized jump-diffusion risk model with constant force of interest

Qingwu Gao and Di Bao

Nanjing Audit University, Nanjing Audit University

Abstract

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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

MSC numbers: Primary 62E20; Secondary 62P05, 91B30

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