EconPapers    
Economics at your fingertips  
 

The density of the ruin time for a renewal-reward process perturbed by a diffusion

Christophette Blanchet-Scalliet (), Diana Dorobantu () and Didier Rulliere ()
Additional contact information
Christophette Blanchet-Scalliet: ICJ - Institut Camille Jordan [Villeurbanne] - 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: SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon

Post-Print from HAL

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: Time of ruin; Renewal-reward process; Brownian motion; Jump-diffusion process; Time of ruin. (search for similar items in EconPapers)
Date: 2013
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00625099v3
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Published in Applied Mathematics Letters, Elsevier, 2013, 26 (1), http://dx.doi.org/10.1016/j.aml.2012.04.003. ⟨10.1016/j.aml.2012.04.003⟩

Downloads: (external link)
https://hal.archives-ouvertes.fr/hal-00625099v3/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00625099

DOI: 10.1016/j.aml.2012.04.003

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2020-05-26
Handle: RePEc:hal:journl:hal-00625099