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

Yu Ting Chen, Cheng Few Lee, Yuan Chung Sheu

研究成果: Chapter同行評審

摘要

Under the assumption that the asset value follows a phase-type jump-diffusion, we show that the expected discounted penalty satisfies an ODE and obtain a general form for the expected discounted penalty. In particular, if only downward jumps are allowed, we get an explicit formula in terms of the penalty function and jump distribution. On the other hand, if the downward jump distribution is a mixture of exponential distributions (and upward jumps are determined by a general Lévy measure), we obtain closed-form solutions for the expected discounted penalty. As an application, we work out an example in Leland’s structural model with jumps. For earlier and related results, see Gerber and Landry et al. (1998), Hilberink and Rogers et al. (2002), Asmussen et al. (2004), and Kyprianou and Surya et al. (2007).

原文English
主出版物標題Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (In 4 Volumes)
發行者World Scientific Publishing Co.
頁面1561-1598
頁數38
ISBN(電子)9789811202391
ISBN(列印)9789811202384
DOIs
出版狀態Published - 1 1月 2020

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