ON THE DISCOUNTED PENALTY AT RUIN IN A JUMP-DIFFUSION MODEL
نویسندگان
چکیده
منابع مشابه
An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model
For a general penalty function, the expected discounted penalty at ruin was considered by, for example, Gerber and Shiu(1998) and Gerber and Landry (1998) in insurance literature. On the other hand, many pricing functionals in mathematical finance(e.g., options pricing, credit risk modelling) can be formulated in terms of expected discounted penalties. Under the assumption that the asset value ...
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The expected discounted penalty with downside jumps has been extensively studied in Gerber and Shiu(1998), Gerber and Landry(1998), Tsai and Wilmott(2002) and others. In this paper, we study the expected discounted penalty in a perturbed compound Poisson model with two sided jumps. We show that it is always twice continuously differentiable provided that the jump size distribution has a bounded...
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ژورنال
عنوان ژورنال: Taiwanese Journal of Mathematics
سال: 2010
ISSN: 1027-5487
DOI: 10.11650/twjm/1500405951