On the ruin problem in the renewal risk processes perturbed by diffusion
Probability
2008-03-07 v1
Abstract
In this paper, we consider the perturbed renewal risk process. Systems of integro-differential equations for the Gerber-Shiu functions at ruin caused by a claim and oscillation are established, respectively. The explicit Laplase transforms of Gerber-Shiu functions are obtained, while the closed form expressions for the Gerber-Shiu functions are derived when the claim amount distribution is from the rational family. Finally, we present numerical examples intended to illustrate the main results.
Cite
@article{arxiv.0803.0906,
title = {On the ruin problem in the renewal risk processes perturbed by diffusion},
author = {Min Song},
journal= {arXiv preprint arXiv:0803.0906},
year = {2008}
}
Comments
23 pages with 2 figures