A generalized defective renewal equation for the surplus process perturbed by diffusion

In this paper, we consider the surplus process of the classical continuous time risk model containing an independent diffusion (Wiener) process. We generalize the defective renewal equation for the expected discounted function of a penalty at the time of ruin in Garber and Landry [Insurance: Math. Econ. 22 (1998) 263]. Then an asymptotic formula for the expected discounted penalty function is proposed. In addition, the associated claim size distribution is studied, and reliability-based class implications for the distribution are given.