The density of the ruin time for a renewal-reward process perturbed by a diffusion
Christophette Blanchet-Scalliet (),
Diana Dorobantu () and
Didier Rulliere
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Christophette Blanchet-Scalliet: ICJ - Institut Camille Jordan - ECL - École Centrale de Lyon - Université de Lyon - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon - INSA Lyon - Institut National des Sciences Appliquées de Lyon - Université de Lyon - INSA - Institut National des Sciences Appliquées - UJM - Université Jean Monnet - Saint-Étienne - CNRS - Centre National de la Recherche Scientifique
Diana Dorobantu: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon
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Abstract:
Let $X$ be a mixed process, sum of a brownian motion and a renewal-reward process, and $\tau_{x}$ be the first passage time of a fixed level $x
Keywords: Renewal-reward process; Brownian motion; Jump-diffusion process; Time of ruin.; Time of ruin (search for similar items in EconPapers)
Date: 2013
Note: View the original document on HAL open archive server: https://hal.science/hal-00625099v3
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Published in Applied Mathematics Letters, 2013, 26 (1), http://dx.doi.org/10.1016/j.aml.2012.04.003. ⟨10.1016/j.aml.2012.04.003⟩
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00625099
DOI: 10.1016/j.aml.2012.04.003
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