ON THE DISCOUNTED PENALTY AT RUIN IN A JUMP-DIFFUSION MODEL

被引：0

作者：

Chen, Yu-Ting ^{[1
]}

Sheu, Yuan-Chung ^{[2
]}

机构：

[1] Acad Sinica, Inst Math, Taipei 115, Taiwan

[2] Natl Chiao Tung Univ, Dept Appl Math, Hsinchu 300, Taiwan

来源：

TAIWANESE JOURNAL OF MATHEMATICS | 2010年 / 14卷 / 04期

关键词：

Jump diffusion; Integro-differential equation; Discounted penalty; LEVY PROCESSES; RISK PROCESS; OPTIONS;

D O I：

10.11650/twjm/1500405951

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this paper, we study the discounted penalty in a perturbed compound Poisson model with two sided jumps. We prove second-order regularity of this function and investigate its asymptotic behavior at infinity Next, based on Boyarchenko and Levendorskii (2002), we justify an integro-differential equation for the discounted penalty.

引用

页码：1337 / 1350

页数：14

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