An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
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Cites work
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- A generalized defective renewal equation for the surplus process perturbed by diffusion.
- Barrier options and touch-and-out options under regular Lévy processes of exponential type
- CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
- Modeling growth stocks via birth-death processes
- On the Time Value of Ruin
- On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
- Optimal capital structure and endogenous default
- Optimal stopping and perpetual options for Lévy processes
- Option pricing when underlying stock returns are discontinuous
- Perpetual American Options Under Lévy Processes
- Pricing contingent claims on stocks driven by Lévy processes
- Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
- Risk theory for the compound Poisson process that is perturbed by diffusion
- Ruin in the perturbed compound Poisson risk process under interest force
- Russian and American put options under exponential phase-type Lévy models.
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(15)- On the discounted penalty at ruin in a jump-diffusion model
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- Lévy processes, phase-type distributions, and martingales
- An application of fractional differential equations to risk theory
- On a discrete risk model with two-sided jumps
- First exit from an open set for a matrix-exponential Lévy process
- A note on first passage functionals for Lévy processes with jumps of rational Laplace transforms
- An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model
- A Generalized Renewal Equation for Perturbed Compound Poisson Processes with Two-Sided Jumps
- The Gerber-Shiu discounted penalty function: a review from practical perspectives
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- Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
- Distance between two skew Brownian motions as a S.D.E. With jumps and law of the hitting time
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