A generalized defective renewal equation for the surplus process perturbed by diffusion

116 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion (2006, background): “Therefore, when In this case, the optimal dividend barrier b ∗ is equal to the initial surplus u. Properties of φ d ( u ) and its applications have been studied extensively by Ger-ber and Landry (1998), Tsai (2001, 2003), Tsai and Willmot (2002a, 2002b) e − R 2 u , u ≥ 0 .”
The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion (2005, background): “This leads to a generalization of the defective renewal equations for the expected discounted penalty function at the time of ruin given by Tsai and Willmot [10,11] and Gerber and Shiu [21,22].”