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

DOI10.4134/JKMS.2014.51.4.735zbMATH Open1296.91154MaRDI QIDQ2877779FDOQ2877779

Di Bao, Qingwu Gao

Publication date: 25 August 2014

Published in: Journal 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=412120

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zbMATH Keywords

asymptoticscounting processruin probabilityjump-diffusion modelupper tail asymptotic independence

Mathematics Subject Classification ID

Cited In (10)

• q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump–diffusion risk model
• Title not available (Why is that?)
• Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims
• Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
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• An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
• Uniform asymptotics for the compound risk model with dependence structures and constant force of interest
• Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest
• The finite-time ruin probability for the jump-diffusion model with constant interest force
• An estimate for the ruin probability of the classical \(C\)-\(L\) model with stochastic diffusion and a constant interest force

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