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

Keyphrases

• Jump-diffusion Process 100%
• ODE 100%
• Explicit Formula 50%
• Phase Jump 50%
• Asset Value 50%
• Penalty Function 50%
• Mixed Exponential Distribution 50%
• Model with Jumps 50%
• Jump Diffusion 50%

Mathematics

• Ordinary Differential Equation 100%
• Diffusion Model 100%
• Exponential Distribution 50%
• Explicit Formula 50%
• Closed Form Solution 50%
• Lvy Measure 50%
• Related Result 50%
• Structural Model 50%