An ODE approach for the expected discounted penalty at ruin in jump-diffusion model

DOI10.1007/s00780-007-0045-5zbMath1164.60034OpenAlexW2065728785MaRDI QIDQ1003336

Cheng-Few Lee, Yuan-Chung Sheu, Yu-Ting Chen

Publication date: 28 February 2009

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-007-0045-5

zbMATH Keywords

ordinary differential equationintegro-differential equationjump-diffusion modelexpected discount penaltyLeland's modelmixture of exponential distributiontwo-sided phase-type distribution

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Large deviations (60F10)

Related Items (12)

A Generalized Renewal Equation for Perturbed Compound Poisson Processes with Two-Sided Jumps ⋮ A note on first passage functionals for Lévy processes with jumps of rational Laplace transforms ⋮ Lévy Processes, Phase-Type Distributions, and Martingales ⋮ Distance between two skew Brownian motions as a S.D.E. With jumps and law of the hitting time ⋮ First exit from an open set for a matrix-exponential Lévy process ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ An algebraic operator approach to the analysis of Gerber-Shiu functions ⋮ An insurance risk model with stochastic volatility ⋮ Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance ⋮ Occupation time of Lévy processes with jumps rational Laplace transforms ⋮ On a discrete risk model with two-sided jumps ⋮ An application of fractional differential equations to risk theory

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