On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
type: Item
instance of: scholarly article
title: On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
zbMATH Open document ID: 0924.60075
DOI: 10.1016/S0167-6687(98)00014-6
author: H. U. Gerber
author: Bruno Landry
published in: Insurance Mathematics \& Economics
publication date: 1999-11-07T00:00:00Z
review text: The paper deals with a stochastic model of ruin theory which is obtained by adding a Wiener process to the right side term of the classical non-random model. The corresponding expected discounted value of a penalty at ruin satisfies a renewal equation, which is obtained via a probabilistic approach. Pricing perpetual put options is examined, and the new equations so obtained extend classical known results already established by Merton.
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 1202775
zbMATH Keywords: ruin theory
zbMATH Keywords: renewal equation
zbMATH Keywords: jump-diffusion process
reviewed by: Guy Jumarie
MaRDI profile type: Publication
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full work available at URL: s0167-6687(98)00014-6
OpenAlex ID: W2089414309
description: scientific article; zbMATH DE number 1202775