標題: | An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model |
作者: | Chen, Yu-Ting Lee, Cheng-Few Sheu, Yuan-Chung 應用數學系 資訊管理與財務金融系 註:原資管所+財金所 Department of Applied Mathematics Department of Information Management and Finance |
關鍵字: | jump-diffusion;expected discounted penalty;phase-type distribution;optimal capital structure |
公開日期: | 1-Jul-2007 |
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 band, if the downward jump distribution is a mixture of exponential distributions (and upward jumps are determined by a general Levy 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 [Insur. Math. Econ. 22:263276, 1998], Hilberink and Rogers [Finance Stoch. 6:237-263, 2002], Asmussen et al. [Stoch. Proc. Appl. 109:79-111, 2004], and Kyprianou and Surya [Finance Stoch. 11:131-152, 2007]. |
URI: | http://dx.doi.org/10.1007/s00780-007-0045-5 http://hdl.handle.net/11536/10651 |
ISSN: | 0949-2984 |
DOI: | 10.1007/s00780-007-0045-5 |
期刊: | FINANCE AND STOCHASTICS |
Volume: | 11 |
Issue: | 3 |
起始頁: | 323 |
結束頁: | 355 |
Appears in Collections: | Articles |
Files in This Item:
If it is a zip file, please download the file and unzip it, then open index.html in a browser to view the full text content.