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Tsai, C.L. and Willmot, G.E. (2002) On the Moments of the Surplus Process Perturbed by Diffusion. Insurance: Mathematics and Economics, 31, 327-350.
https://doi.org/10.1016/S0167-6687(02)00159-2

has been cited by the following article:

• TITLE: Claim Sizes-Based Perturbed Risk Model with the Dependence Structure

  AUTHORS: Ying Shen

  KEYWORDS: Perturbed Risk Model, Piecewise Premium, Dependence, The Laplace Transform

  JOURNAL NAME: Applied Mathematics, Vol.9 No.11, November 27, 2018

  ABSTRACT: In this paper, we focus on the perturbed risk model with dependent relation and consider the relevance from two aspects. For one side, we use copula function to model the structure of the claim size and interclaim time, and on the other side, we establish the change of premium rat depending on the random thresholds. At last, we obtain the Integro-differential equations and its Laplace transforms of the Gerber-Shiu functions for the new risk model.