Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion

DOI10.1017/s0269964822000080zbMath1518.91216OpenAlexW4220850092MaRDI QIDQ6163060

Publication date: 16 June 2023

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964822000080

zbMATH Keywords

joint moments expected discounted penalty function insurance risk model discounted claims until ruin discounted perturbation

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Actuarial mathematics (91G05)

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