Some distributions for classical risk process that is perturbed by diffusion

@inproceedings{Wanga2000SomeDF,
  title={Some distributions for classical risk process that is perturbed by diffusion},
  author={Guojing Wanga and Rong Wub},
  year={2000}
}
  • Guojing Wanga, Rong Wub
  • Published 2000
In this paper we discuss the classical risk process that is perturbed by diffusion. We prove some properties of the supremum distribution of the risk process before ruin when ruin occurs and the surplus distribution at the time of ruin. We present the simple and explicit expression for these distributions when the claims are exponentially distributed. ©2000 Published by Elsevier Science B.V. All rights reserved. 
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