ON THE DISCOUNTED PENALTY AT RUIN IN A JUMP-DIFFUSION MODEL

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.