On the expectations of the present values of the time of ruin perturbed by diffusion.

DOI10.1016/S0167-6687(03)00130-6zbMath1066.91062MaRDI QIDQ1413409

Cary Chi-Liang Tsai

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

boundsurplus processcompound geometric distributionexplicit analytical solutioncontinuous-time risk modeldefective momentsexpected discount penalty functionpenalty at ruin by a claimpenalty at ruin by oscillationreliability-based classTijms-type approximation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Approximations to statistical distributions (nonasymptotic) (62E17) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Cites Work

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