The first exit time and ruin time for a risk process with reserve-dependent income. (Q1871355)

The risk reserve process \((X_t)_{t \geq 0}\) is described by the equation \( X_t = x + \int_0^t c(X_s)\,ds - S_t\), where \(x \geq 0\) is the initial capital, \(c(\cdot)\) a continuously differentiable function representing the positive reserve-dependent income rate, and \((S_t)_{t \geq 0}\) the aggregate claim process, \(S_t = \sum_{i=1}^{N_t} Y_i\) where \((N_t)_{t \geq 0}\) is a Poisson process with intensity \(\lambda\) and \((Y_i)_{i \geq 1}\) is a sequence of independent claim amounts. For two real \(b < a\), the first exit time from \((b,a)\) is defined by \(\tau_{a,b} = \inf \{t > 0: X_t \leq b\) or \(X_t \geq a\}\). Thus \(t_{\infty,0}\) is the time of ruin. It is shown that the Laplace transform of \(\tau_{a,b}\) satisfies an integro-differential equation, and then two special cases are elaborated in detail. The first is the classical one, when \(c(\cdot) = \text{const}\). The second case is the \textit{P. Embrechts} and \textit{H. Schmidli} model [Adv. Appl. Probab. 26, 404--422 (1994; Zbl 0811.62096)] which corresponds to the situation where a company earns interest at different interest rates according to whether the reserve is positive or negative.