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.