THE ULTIMATE RUIN PROBABILITY OF A DEPENDENT DELAYED-CLAIM RISK MODEL PERTURBED BY DIFFUSION WITH CONSTANT FORCE OF INTEREST

DOI10.4134/BKMS.2015.52.3.895zbMATH Open1319.62036OpenAlexW2342321423MaRDI QIDQ5265560FDOQ5265560

Na Jin, Qingwu Gao, Erli Zhang

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)

Cited In (6)

• Title not available (Why is that?)
• Title not available (Why is that?)
• 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
• Asymptotics for ruin probabilities of a dependent delayed-claim risk model with general investment returns and diffusion
• Large deviations for the discounted aggregate claims in time-dependent risk model with constant interest force

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