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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 in- terest, upper tail asymptotically independent claims and a general count- ing 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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참고문헌 (24)
참고문헌 신청
D. B. H. Cline / 1994 / Subexponentiality of the product of independent random variables / Stochastic Process. Appl 49 (1) : 75 ~ 98
D. Wang / 2005 / Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory / Sci. C
D. Wang / 2008 / Finite-time ruin probability with heavy-tailed claims and constant interest rate / Stoch. Models 24 (1) : 41 ~ 57
J. Geluk / 2009 / Asymptotic tail probabilities of sums of dependent subexponential random variables / J. Theoret. Probab 22 (4) : 871 ~ 882
J. Li / 2010 / Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model / Adv. in Appl. Probab 42 (4) : 1126 ~ 1146
D. Wang / 2005 / Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory / Sci. C
D. Wang / 2008 / Finite-time ruin probability with heavy-tailed claims and constant interest rate / Stoch. Models 24 (1) : 41 ~ 57
J. Geluk / 2009 / Asymptotic tail probabilities of sums of dependent subexponential random variables / J. Theoret. Probab 22 (4) : 871 ~ 882
J. Li / 2010 / Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model / Adv. in Appl. Probab 42 (4) : 1126 ~ 1146
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