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

dc.citation.epage	1350	en_US
dc.citation.issue	4	en_US
dc.citation.spage	1337	en_US
dc.citation.volume	14	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	2014-12-08T15:06:33Z
dc.date.available	2014-12-08T15:06:33Z
dc.date.issued	2010-08-01	en_US
dc.description.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.	en_US
dc.identifier.issn	1027-5487	en_US
dc.identifier.journal	TAIWANESE JOURNAL OF MATHEMATICS	en_US
dc.identifier.uri	https://ir.lib.nycu.edu.tw/handle/11536/5122
dc.identifier.wosnumber	WOS:000280687100007
dc.language.iso	en_US	en_US
dc.subject	Jump diffusion	en_US
dc.subject	Integro-differential equation	en_US
dc.subject	Discounted penalty	en_US
dc.title	ON THE DISCOUNTED PENALTY AT RUIN IN A JUMP-DIFFUSION MODEL	en_US
dc.type	Article	en_US

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