On the ruin problem in the renewal risk processes perturbed by diffusion
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Publication:6208655
arXiv0803.0906MaRDI QIDQ6208655FDOQ6208655
Authors: Min Song 
Publication date: 6 March 2008
Abstract: In 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.
Processes with independent increments; Lévy processes (60G51) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Local time and additive functionals (60J55)
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