Authors’ Reply: The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion - Discussion by Bangwon Ko

DOI10.1080/10920277.2007.10597458zbMath1480.91227OpenAlexW4241814174MaRDI QIDQ5019738

Cary Chi-Liang Tsai, Yi Lu

Publication date: 10 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2007.10597458

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Laplace transform (44A10) Actuarial mathematics (91G05)

Cites Work

• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• Ruin theory with stochastic return on investments
• On The Decomposition Of The Ruin Probability For A Jump-Diffusion Surplus Process Compounded By A Geometric Brownian Motion

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