A generalized defective renewal equation for the surplus process perturbed by diffusion
Resource
Insurance: Mathematics and Economics 30,51-66
Journal
Insurance: Mathematics and Economics 30
Pages
51-66
Date Issued
2002
Date
2002
Author(s)
Tsai, Chi-Liang
Willmot, G.E.
DOI
246246/2006111501254648
Abstract
In this paper, we consider the surplus process of the classical continuous time risk model containing an independent
diffusion (Wiener) process. We generalize the defective renewal equation for the expected discounted function of a penalty at
the time of ruin in Garber and Landry [Insurance: Math. Econ. 22 (1998) 263]. Then an asymptotic formula for the expected
discounted penalty function is proposed. In addition, the associated claim size distribution is studied, and reliability-based
class implications for the distribution are given.
Subjects
Defective renewal equation
Surplus process
Diffusion process
Asymptotic formula
Associated claim size distribution
Reliability-based class
Type
journal article
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