The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion

DOI10.1080/10920277.2007.10597456zbMath1480.91226MaRDI QIDQ5019736

Cary Chi-Liang Tsai, Yi Lu

Publication date: 10 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2007.10597456

Mathematics Subject Classification ID

45J05: Integro-ordinary differential equations

44A10: Laplace transform

91G05: Actuarial mathematics

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