On the discounted penalty at ruin in a jump-diffusion and the perpetual put option

DOI10.1016/S0167-6687(98)00014-6zbMath0924.60075OpenAlexW2089414309MaRDI QIDQ1265935

Hans U. Gerber, Bruno Landry

Publication date: 7 November 1999

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(98)00014-6

zbMATH Keywords

ruin theoryrenewal equationjump-diffusion process

Mathematics Subject Classification ID

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Cites Work

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• On the distribution of the claim causing ruin
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• From ruin theory to pricing reset guarantees and perpetual put options
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• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• Analysis of a defective renewal equation arising in ruin theory
• How long is the surplus below zero?
• On the Time Value of Ruin
• Pricing Perpetual Options for Jump Processes

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