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:	2011
Authors:	Blanchet-Scalliet, Christophette ; Dorobantu, Diana ; Rullière, Didier
Institutions:	HAL
Subject:	Renewal-reward process \| Brownian motion \| Jump-diffusion process \| Time of ruin

Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00625099
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009322688