The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion

By Shuanming Li, José Garrido. 2005

57 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/fd1dbee0d5f2f9177b969c00a8c7d516b1369444

Citations in the corpus

• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion (2006, unknown): “0 φd(b − x)edx + ρφd(b) + φd(b) = 0, (16) provided that the solution is greater than u, otherwise, we set b∗ = u.”