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dc.contributor.authorChen, Yu-Tingen_US
dc.contributor.authorSheu, Yuan-Chungen_US
dc.date.accessioned2014-12-08T15:10:26Z-
dc.date.available2014-12-08T15:10:26Z-
dc.date.issued2009en_US
dc.identifier.issn0736-2994en_US
dc.identifier.urihttp://hdl.handle.net/11536/7973-
dc.identifier.urihttp://dx.doi.org/10.1080/07362990903136421en_US
dc.description.abstractIn 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.isoen_USen_US
dc.subjectDiscounted penaltyen_US
dc.subjectPerpetual American optionen_US
dc.subjectPerturbed compound Poisson processen_US
dc.subjectRenewal equationen_US
dc.titleA Generalized Renewal Equation for Perturbed Compound Poisson Processes with Two-Sided Jumpsen_US
dc.typeArticleen_US
dc.identifier.doi10.1080/07362990903136421en_US
dc.identifier.journalSTOCHASTIC ANALYSIS AND APPLICATIONSen_US
dc.citation.volume27en_US
dc.citation.issue5en_US
dc.citation.spage897en_US
dc.citation.epage910en_US
dc.contributor.department應用數學系zh_TW
dc.contributor.departmentDepartment of Applied Mathematicsen_US
dc.identifier.wosnumberWOS:000269136700002-
dc.citation.woscount0-
Appears in Collections:Articles


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