On the expectation of total discounted operating costs up to default and its applications

DOI10.1239/aap/1246886621zbMath1173.91023MaRDI QIDQ5320662

Gordon E. Willmot, Runhuan Feng, Jun Cai

Publication date: 22 July 2009

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1246886621

zbMATH Keywords

time of ruin; dividend barrier; compound geometric distribution; time of default; operating cost; time of absolute ruin; claim cost; piecewise-deterministic compound Poisson process

Mathematics Subject Classification ID

91B70: Stochastic models in economics

91G20: Derivative securities (option pricing, hedging, etc.)

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