An ODE approach for the expected discounted penalty at ruin in jump-diffusion model

DOI10.1007/S00780-007-0045-5zbMATH Open1164.60034OpenAlexW2065728785MaRDI QIDQ1003336FDOQ1003336

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

Publication date: 28 February 2009

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-007-0045-5

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zbMATH Keywords

ordinary differential equationintegro-differential equationjump-diffusion modelexpected discount penaltyLeland's modelmixture of exponential distributiontwo-sided phase-type distribution

Mathematics Subject Classification ID

Large deviations (60F10) Extreme value theory; extremal stochastic processes (60G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cited In (15)

• On the discounted penalty at ruin in a jump-diffusion model
• An algebraic operator approach to the analysis of Gerber-Shiu functions
• Omega model for a jump-diffusion process with a two-step premium rate
• 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
• An insurance risk model with stochastic volatility
• 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
• Occupation time of Lévy processes with jumps rational Laplace transforms

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