On the ruin problem in the renewal risk processes perturbed by diffusion

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dc.creatorSong, Min
dc.date2008-03-06
dc.date.accessioned2026-07-07T09:25:14Z
dc.date.available2026-07-07T09:25:14Z
dc.descriptionIn 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.
dc.description23 pages with 2 figures
dc.identifierhttps://arxiv.org/abs/0803.0906
dc.identifierhttp://arxiv.org/abs/0803.0906
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/156339
dc.subjectProbability
dc.subject60K10; 60G51; 60J55
dc.titleOn the ruin problem in the renewal risk processes perturbed by diffusion
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