A Generalized Renewal Equation for Perturbed Compound Poisson Processes with Two-Sided Jumps
| dc.citation.epage | 910 | en_US |
| dc.citation.issue | 5 | en_US |
| dc.citation.spage | 897 | en_US |
| dc.citation.volume | 27 | en_US |
| dc.citation.woscount | 0 | |
| dc.contributor.author | Chen, Yu-Ting | en_US |
| dc.contributor.author | Sheu, Yuan-Chung | en_US |
| dc.contributor.department | 應用數學系 | zh_TW |
| dc.contributor.department | Department of Applied Mathematics | 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.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.identifier.doi | 10.1080/07362990903136421 | en_US |
| dc.identifier.issn | 0736-2994 | en_US |
| dc.identifier.journal | STOCHASTIC ANALYSIS AND APPLICATIONS | en_US |
| dc.identifier.uri | http://dx.doi.org/10.1080/07362990903136421 | en_US |
| dc.identifier.uri | https://ir.lib.nycu.edu.tw/handle/11536/7973 | |
| dc.identifier.wosnumber | WOS:000269136700002 | |
| 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 |