A Generalized Renewal Equation for Perturbed Compound Poisson Processes with Two-Sided Jumps

doi:10.1080/07362990903136421

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DC 欄位	值	語言
dc.contributor.author	Chen, Yu-Ting	en_US
dc.contributor.author	Sheu, Yuan-Chung	en_US
dc.date.accessioned	2014-12-08T15:10:26Z	-
dc.date.available	2014-12-08T15:10:26Z	-
dc.date.issued	2009	en_US
dc.identifier.issn	0736-2994	en_US
dc.identifier.uri	http://hdl.handle.net/11536/7973	-
dc.identifier.uri	http://dx.doi.org/10.1080/07362990903136421	en_US
dc.description.abstract	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.	en_US
dc.language.iso	en_US	en_US
dc.subject	Discounted penalty	en_US
dc.subject	Perpetual American option	en_US
dc.subject	Perturbed compound Poisson process	en_US
dc.subject	Renewal equation	en_US
dc.title	A Generalized Renewal Equation for Perturbed Compound Poisson Processes with Two-Sided Jumps	en_US
dc.type	Article	en_US
dc.identifier.doi	10.1080/07362990903136421	en_US
dc.identifier.journal	STOCHASTIC ANALYSIS AND APPLICATIONS	en_US
dc.citation.volume	27	en_US
dc.citation.issue	5	en_US
dc.citation.spage	897	en_US
dc.citation.epage	910	en_US
dc.contributor.department	應用數學系	zh_TW
dc.contributor.department	Department of Applied Mathematics	en_US
dc.identifier.wosnumber	WOS:000269136700002	-
dc.citation.woscount	0	-
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