On the ruin problem in the renewal risk processes perturbed by diffusion
نویسنده
چکیده
In this paper, we consider the perturbed renewal risk process. Systems of integrodifferential equations for the Gerber-Shiu functions at ruin caused by a claim and oscillation are established, respectively. The explicit Laplase transforms of GerberShiu 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.
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