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

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

Year of publication:	2013
Authors:	Blanchet-Scalliet, Christophette ; Dorobantu, Diana ; Rullière, Didier
Institutions:	HAL
Subject:	Renewal-reward process \| Brownian motion \| Jump-diffusion process \| Time of ruin

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00625099 Published, Applied Mathematics Letters, 2013, 26, 1, http://dx.doi.org/10.1016/j.aml.2012.04.003
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010899280