The ultimate ruin probability of a dependent delayed-claim risk model perturbed by diffusion with constant force of interest

DOI10.4134/BKMS.2015.52.3.895MaRDI QIDQ5265560zbMATHzbMATHOpenAlexFDO

Authors Qingwu Gao, Erli Zhang, Na Jin

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)

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• Analysis of a dependent perturbed renewal risk model with heavy-tailed distributions
• Asymptotics for ruin probabilities of a dependent delayed-claim risk model with general investment returns and diffusion
• Limit property of the delayed risk model under dependent claims and investment
• Ruin probability for an extended risk model with constant interest force and delayed-claims
• Large deviations for the discounted aggregate claims in time-dependent risk model with constant interest force
• Uniform asymptotics for a delay-claims risk model with constant force of interest and by-claims arriving according to a counting process
• Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest
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