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

DOI10.1239/aap/1246886621zbMath1173.91023OpenAlexW2137541411MaRDI QIDQ5320662

Gordon E. Willmot, Runhuan Feng, Jun Cai

Publication date: 22 July 2009

Published in: Unnamed Author (Search for Journal in Brave)

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

zbMATH Keywords

time of ruindividend barriercompound geometric distributiontime of defaultoperating costtime of absolute ruinclaim costpiecewise-deterministic compound Poisson process

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (38)

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