A generalized defective renewal equation for the surplus process perturbed by diffusion.
type: Item
instance of: scholarly article
title: A generalized defective renewal equation for the surplus process perturbed by diffusion.
zbMATH Open document ID: 1074.91563
DOI: 10.1016/S0167-6687(01)00096-8
author: Cary Chi-Liang Tsai
author: Gordon E. Willmot
published in: Insurance Mathematics \& Economics
publication date: 2003-11-16T00:00:00Z
review text: The authors consider the surplus process \(V(t)= u+ ct- S(t)+\sigma W(t)\), \(t\geq 0\), where \(\sigma> 0\), \(\{W(t): t\geq 0\}\) is a standard Wiener process, that is independent of the compound Poisson process \(\{S(t): t\geq 0\}\). The defective renewal equation for the expected discounted function of a penalty at the time of ruin is generalized and its asymptotic formula is proposed.
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60J70
zbMATH DE Number: 2004007
zbMATH Keywords: Defective renewal equation
zbMATH Keywords: Surplus process
zbMATH Keywords: Diffusion process
zbMATH Keywords: Asymptotic formula
zbMATH Keywords: Associated claim size distribution
zbMATH Keywords: Reliability-based class
reviewed by: Alexandra Rodkina
MaRDI profile type: Publication
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full work available at URL: s0167-6687(01)00096-8
OpenAlex ID: W2027640214
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description: scientific article; zbMATH DE number 2004007