Bull. Korean Math. Soc. 2015; 52(3): 895-906
Printed May 31, 2015
https://doi.org/10.4134/BKMS.2015.52.3.895
Copyright © The Korean Mathematical Society.
Qingwu Gao, Erli Zhang, and Na Jin
Nanjing University, Zhengzhou Institute of Finance and Economics, Jiangsu Price Institute
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
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