An ODE Approach for the Expected Discounted Penalty at Ruin in a Jump-Diffusion Model

DOI10.1142/9789811202391_0041zbMath1451.91165OpenAlexW4229831970MaRDI QIDQ5139450

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

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0041

zbMATH Keywords

phase-type distributionjump-diffusionoptimal capital structureexpected discounted penalty

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Integro-ordinary differential equations (45J05) Actuarial mathematics (91G05) Jump processes on discrete state spaces (60J74)

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