2006
DOI: 10.1007/s10255-005-0295-y
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The Finite-time Ruin Probability for the Jump-Diffusion Model with Constant Interest Force

Abstract: In this paper, we consider the finite-time ruin probability for the jump-diffusion Poisson process.Under the assumptions that the claimsizes are subexponentially distributed and that the interest force is constant, we obtain an asymptotic formula for the finite-time ruin probability. The results we obtain extends the corresponding results of Klüppelberg and Stadtmüller [8] and Tang [14] .

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Cited by 11 publications
(5 citation statements)
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“…Culminating through a series of papers [3,33,35,37,66,67,68], it was proved in [32] that when σ R = 0 and F ∈ S,…”
Section: Asymptotic Resultsmentioning
confidence: 99%
“…Culminating through a series of papers [3,33,35,37,66,67,68], it was proved in [32] that when σ R = 0 and F ∈ S,…”
Section: Asymptotic Resultsmentioning
confidence: 99%
“…In the case of heavy tailed jump distributions there are more explicit results for the asymptotic behaviour of the ruin probability. In [11] results are obtained for the asymptotics of the finite horizon ruin probability P x (τ ( ) ≤ T ) in a fairly general model with σ 2 2 = 0 and subexpontial jump distributions. Similar results are reached in [3] in the infinite horizon case.…”
Section: Introductionmentioning
confidence: 99%
“…Finally, we present Lemma 3.5 of Jiang and Yan [12], which is due to Lemma 4.5 of Tang [17]. Lemma 2.6.…”
Section: Some Lemmasmentioning
confidence: 99%
“…We know that, Jiang and Yan [12] considered the compound Poisson risk model perturbed by diffusion, and established an asymptotic formula for the finite-time ruin probability with the claim-size distribution F ∈ S. Recently, for a nonstandard renewal risk model with diffusion, UTAI claim sizes and WLOD inter-arrival times, Chen et al [2] in their Corollary 2.1 gave a uniformly asymptotic formula of the finite-time ruin probability for times in a finite interval, if F ∈ L ∩ D, and {C(t), t ≥ 0} and {S(t), t ≥ 0} are mutually independent.…”
Section: Introductionmentioning
confidence: 99%
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