Asymptotic Ruin Probabilities in a Generalized Jump-Diffusion Risk Model With Constant Force of Interest

Abstract

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.

The Ultimate Ruin Probability of a Dependent Delayed-Claim Risk Model Perturbed by Diffusion With Constant Force of Interest

“…For further study on the above dependence structures and their analogues, we refer to Geluk and Tang [11], Wang and Cheng [21], Liu et al [14], Gao and Jin [6], Gao and Liu [8], Gao and Yang [9,10], Gao et al [7], Gao and Bao [5], and others. Henceforth, all limit relationships are for x → ∞ unless mentioned otherwise.…”