”The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion“, Yi Lu and Cary Chi-Liang Tsai, April 2007

DOI10.1080/10920277.2007.10597457zbMath1480.91216OpenAlexW2045696581MaRDI QIDQ5019737

Publication date: 10 January 2022

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

Full work available at URL: https://doi.org/10.1080/10920277.2007.10597457

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Laplace transform (44A10) Actuarial mathematics (91G05)

Cites Work

On The Decomposition Of The Ruin Probability For A Jump-Diffusion Surplus Process Compounded By A Geometric Brownian Motion

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