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 QIDQ5265560zbMATH OpenOpenAlexFDO

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

asymptotic ruin probabilitydelayed claimdiffusionpairwise quasi-asymptotic independencewidely lower orthant dependence

Mathematics Subject Classification ID

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

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• Limit property of the delayed risk model under dependent claims and investment
• Large deviations for the discounted aggregate claims in time-dependent risk model with constant interest force
• Ruin probability for an extended risk model with constant interest force and delayed-claims
• On the ruin probability for a delayed-claims risk model perturbed by diffusion
• 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

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