標題: | A Generalized Renewal Equation for Perturbed Compound Poisson Processes with Two-Sided Jumps |
作者: | Chen, Yu-Ting Sheu, Yuan-Chung 應用數學系 Department of Applied Mathematics |
關鍵字: | Discounted penalty;Perpetual American option;Perturbed compound Poisson process;Renewal equation |
公開日期: | 2009 |
摘要: | In this article, we study the discounted penalty at ruin in a perturbed compound Poisson model with two-sided jumps. We show that it satisfies a renewal equation under suitable conditions and consider an application of this renewal equation to study some perpetual American options. In particular, our renewal equation gives a generalization of the renewal equation in Gerber and Landry [2] where only downward jumps are allowed. |
URI: | http://hdl.handle.net/11536/7973 http://dx.doi.org/10.1080/07362990903136421 |
ISSN: | 0736-2994 |
DOI: | 10.1080/07362990903136421 |
期刊: | STOCHASTIC ANALYSIS AND APPLICATIONS |
Volume: | 27 |
Issue: | 5 |
起始頁: | 897 |
結束頁: | 910 |
顯示於類別: | 期刊論文 |