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A generalized defective renewal equation for the surplus process perturbed by diffusion. (English) Zbl 1074.91563
The authors consider the surplus process \(V(t)= u+ ct- S(t)+\sigma W(t)\), \(t\geq 0\), where \(\sigma> 0\), \(\{W(t): t\geq 0\}\) is a standard Wiener process, that is independent of the compound Poisson process \(\{S(t): t\geq 0\}\). The defective renewal equation for the expected discounted function of a penalty at the time of ruin is generalized and its asymptotic formula is proposed.

91B30 Risk theory, insurance (MSC2010)
60J70 Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
Full Text: DOI
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