On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
- 1 July 1998
- journal article
- Published by Elsevier in Insurance: Mathematics and Economics
- Vol. 22 (3) , 263-276
- https://doi.org/10.1016/s0167-6687(98)00014-6
Abstract
No abstract availableThis publication has 11 references indexed in Scilit:
- On the Time Value of RuinNorth American Actuarial Journal, 1998
- The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruinInsurance: Mathematics and Economics, 1997
- On some measures of the severity of ruin in the classical Poisson modelInsurance: Mathematics and Economics, 1994
- On the distribution of the claim causing ruinInsurance: Mathematics and Economics, 1993
- How long is the surplus below zero?Insurance: Mathematics and Economics, 1993
- On the distribution of the surplus prior to ruinInsurance: Mathematics and Economics, 1992
- Risk theory for the compound Poisson process that is perturbed by diffusionInsurance: Mathematics and Economics, 1991
- The surpluses immediately before and at ruin, and the amount of the claim causing ruinInsurance: Mathematics and Economics, 1988
- On the Probability and Severity of RuinASTIN Bulletin, 1987
- Theory of Rational Option PricingThe Bell Journal of Economics and Management Science, 1973