Abstract
In this paper, we study the discounted penalty in a perturbed compound Poisson model with two sided jumps. We prove second-order regularity of this function and investigate its asymptotic behavior at infinity. Next, based on Boyarchenko and Levendorskii (2002), we justify an integro-differential equation for the discounted penalty.
Citation
Yu-Ting Chen. Yuan-Chung Sheu. "ON THE DISCOUNTED PENALTY AT RUIN IN A JUMP-DIFFUSION MODEL." Taiwanese J. Math. 14 (4) 1337 - 1350, 2010. https://doi.org/10.11650/twjm/1500405951
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