Abstract
In this paper, we consider the finite-time ruin probability for the jump-diffusion Poisson process. Under the assumptions that the claimsizes are subexponentially distributed and that the interest force is constant, we obtain an asymptotic formula for the finite-time ruin probability. The results we obtain extends the corresponding results of Klüppelberg and Stadtmüller[8] and Tang[14].
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Supported by the National Natural Science Foundation of China (No.70471071) and Philosophy and Social Science Foundation of the Education Anthority of Jiangsu Province (No.04SJB630005).
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Jiang, T., Yan, Hf. The Finite-time Ruin Probability for the Jump-Diffusion Model with Constant Interest Force. Acta Mathematicae Applicatae Sinica, English Series 22, 171–176 (2006). https://doi.org/10.1007/s10255-005-0295-y
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DOI: https://doi.org/10.1007/s10255-005-0295-y
Keywords
- Finite time ruin probability
- jump-diffusion Poisson process
- constant interest force
- subexponential class