Visa to Hell (1991)

Cop & robber story with a twist. A cop is trying to nail a bad guy (played by Dick Wei). This pisses the bad guy enough that he goes to the cop's house and kills both his wife and his daughter. When the cop gets there, he catches Dick Wei on his way out and ends up cornering him. Dick, who doesn't want to give the cop the satisfaction, jumps to his death. But the cop follows him into hell to make him pay.