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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 [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

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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: Time of ruin; Renewal-reward process; Brownian motion; Jump-diffusion process; Time of ruin. (search for similar items in EconPapers)
Date: 2013
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Published in Applied Mathematics Letters, Elsevier, 2013, 26 (1), ⟨10.1016/j.aml.2012.04.003⟩

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DOI: 10.1016/j.aml.2012.04.003

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