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

DOI10.4134/BKMS.2015.52.3.895zbMath1319.62036OpenAlexW2342321423MaRDI QIDQ5265560

Na Jin, Qingwu Gao, Erli Zhang

Publication date: 28 July 2015

Published in: Bulletin of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL: http://www.mathnet.or.kr/mathnet/kms_content.php?no=412666

zbMATH Keywords

diffusionwidely lower orthant dependencedelayed claimpairwise quasi-asymptotic independenceasymptotic ruin probability

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Large deviations for the discounted aggregate claims in time-dependent risk model with constant interest force ⋮ Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest ⋮ Uniform asymptotics for a delay-claims risk model with constant force of interest and by-claims arriving according to a counting process

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