Bulletin of the
Korean Mathematical Society BKMS

Recently, Li \cite{12} gave an asymptotic formula for the ultimate ruin probability in a delayed-claim risk model with constant force of interest and pairwise quasi-asymp\-totically independent and extended-regularly-varying-tailed claims. This paper extends Li's result to the case in which the risk model is perturbed by diffusion, the claims are consistently-varying-tailed and the main-claim interarrival times are wide\-ly lower orthant dependent.

Keywords: asymptotic ruin probability, delayed claim, diffusion, pairwise quasi-asymptotic independence, widely lower orthant dependence

MSC numbers: Primary 62E20; Secondary 62P05, 91B30