An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model

Finance and Stochastics

Volumn 11, Issue 3, 2007, Pages 323-355

  Chen, Yu Ting ^a   Lee, Cheng Few ^a,b   Sheu, Yuan Chung ^a  

^a NATIONAL CHIAO TUNG UNIVERSITY   (Taiwan)

^b RUTGERS UNIVERSITY   (United States)

Author keywords

Expected discounted penalty; Jump diffusion; Optimal capital structure; Phase type distribution

Indexed keywords

EID: 34547186065     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-007-0045-5     Document Type: Article

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