A generalized defective renewal equation for the surplus process perturbed by diffusion

Insurance: Mathematics and Economics

Volumn 30, Issue 1, 2002, Pages 51-66

  Tsai, Cary Chi Liang ^a   Willmot, Gordon E ^b  

^a NATIONAL TAIWAN UNIVERSITY   (Taiwan)

^b UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Associated claim size distribution; Asymptotic formula; Defective renewal equation; Diffusion process; Reliability based class; Surplus process

Indexed keywords

EID: 0036192793     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(01)00096-8     Document Type: Article

References (18)

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11. Some distributions for classical risk process that is perturbed by diffusion
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14. Exact and approximate properties of the distribution of the surplus before and after ruin